Modeling aggressive market order placements with Hawkes factor models

• Hai-Chuan Xu,

  Roles Conceptualization, Data curation, Formal analysis, Funding acquisition, Methodology, Resources, Software, Validation, Visualization, Writing – original draft

  Affiliations Research Center for Econophysics, East Chine University of Science and Technology, Shanghai, China, Department of Finance, East Chine University of Science and Technology, Shanghai, China

  http://orcid.org/0000-0002-4035-0318

  ⨯
• Wei-Xing Zhou

  Roles Project administration, Supervision, Writing – review & editing

  * E-mail: wxzhou@ecust.edu.cn

  Affiliations Research Center for Econophysics, East Chine University of Science and Technology, Shanghai, China, Department of Finance, East Chine University of Science and Technology, Shanghai, China, Department of Mathematics, East China University of Science and Technology, Shanghai, China

  http://orcid.org/0000-0002-8952-8228

  ⨯