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Optimal market-Making strategies under synchronised order arrivals with deep neural networks. (2021). Choi, So Eun ; Lee, Kyungsub ; Jang, Hyun Jin ; Zheng, Harry.
In: Journal of Economic Dynamics and Control.
RePEc:eee:dyncon:v:125:y:2021:i:c:s0165188921000336.

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  1. Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures. (2024). Lee, Kyungsub.
    In: Papers.
    RePEc:arx:papers:2207.05939.

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  2. Multi-kernel property in high-frequency price dynamics under Hawkes model. (2023). Lee, Kyungsub.
    In: Papers.
    RePEc:arx:papers:2302.11822.

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  3. Does the bid–ask spread affect trading in exchange operated dark pools? Evidence from a natural experiment. (2022). Tian, Xiao Jason ; Kalev, Petko S ; Duong, Huu Nhan.
    In: Journal of Economic Dynamics and Control.
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