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Clustering and Mean Reversion in a Hawkes Microstructure Model |
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| Authors: | José Da Fonseca Riadh Zaatour |
| Affiliation: | 1. José Da Fonseca is Senior Lecturer at the Department of Finance, Auckland University of Technology, Auckland, New Zealand;2. Riadh Zaatour is at the Chair of Quantitative Finance, Ecole Centrale Paris, Chatenay‐Malabry, France |
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