Long-time behavior of a Hawkes process-based limit order book
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Functional limit theorems; invariance principles (60F17) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Financial applications of other theories (91G80)
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Cites work
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- A stochastic model for order book dynamics
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- Dynamic optimal execution in a mixed-market-impact Hawkes price model
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Cited in
(37)- Large deviations and applications for Markovian Hawkes processes with a large initial intensity
- Second order approximations for limit order books
- Exact Hurst exponent and crossover behavior in a limit order market model
- Quasi-likelihood analysis and its applications
- Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes
- Marked point processes and intensity ratios for limit order book modeling
- Precise deviations for Hawkes processes
- A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process
- Modelling of limit order books by general compound Hawkes processes with implementations
- Limit properties of continuous self-exciting processes
- Confidence interval for correlation estimator between latent processes
- Statistical inference for ergodic point processes and application to limit order book
- Modelling bid and ask prices using constrained Hawkes processes: ergodicity and scaling limit
- Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics
- High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration
- Transform analysis for Hawkes processes with applications in dark pool trading
- The role of volume in order book dynamics: a multivariate Hawkes process analysis
- Ergodicity and diffusivity of Markovian order book models: a general framework
- Optimal inventory management and order book modeling
- Estimation of correlation between latent processes
- The limits of statistical significance of Hawkes processes fitted to financial data
- State-dependent Hawkes processes and their application to limit order book modelling
- Perfect Sampling of Hawkes Processes and Queues with Hawkes Arrivals
- Optimal liquidity-based trading tactics
- Optimal placement in a limit order book: an analytical approach
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- A weak law of large numbers for a limit order book model with fully state dependent order dynamics
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- Order Book Queue Hawkes Markovian Modeling
- Multivariate Hawkes-based models in limit order book: European and spread option pricing
- The design of optimal re-insurance contracts when losses are clustered
- Event-Based Limit Order Book Simulation under a Neural Hawkes Process: Application in Market-Making
- Simulating and analyzing a sparse order book: an application to intraday electricity markets
- Ergodic properties of the Hawkes process with a general excitation kernel
- Multi-dimensional queue-reactive model and signal-driven models: a unified framework
- Network-modulated jump-diffusion processes in multi-asset cryptocurrency markets: mathematical foundations
- Likelihood inference of the non-stationary Hawkes process with non-exponential kernel
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