Modeling High Frequency Market Order Dynamics Using Self-Excited Point Process

On Lewis' simulation method for point processes

IEEE Transactions on Information Theory · 1981 · 749 citations

Computing, Computational Engineering, Computational Geometry +15

An Introduction to the Theory of Point Processes.

Alan F. Karr, D. J. Daley, D. Vere-Jones · Journal of the American Statistical Association · 1990 · 603 citations · Full text

Engineering, Mathematics, Physics +12

The Spectral Analysis of Point Processes

M. S. Bartlett · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 1963 · 410 citations

Engineering, Industrial Engineering, Probability Theory +14

Distributions in Statistics: Continuous Multivariate Distributions.

Morris L. Eaton, Norman L. Johnson, Samuel Kotz · Journal of the American Statistical Association · 1973 · 408 citations

Natural Sciences, Mathematics, Probability Theory +10

The asymptotic behaviour of maximum likelihood estimators for stationary point processes

Yoshiko Ogata · Annals of the Institute of Statistical Mathematics · 1978 · 346 citations

Engineering, Mathematics, Econometrics +15