Marked point processes and intensity ratios for limit order book modeling

DOI10.1007/S42081-021-00137-9MaRDI QIDQ2166017zbMATH OpenOpenAlexFDO

Authors Ioane Muni Toke, Nakahiro Yoshida

Publication date 23 August 2022

Published in Japanese Journal of Statistics and Data Science (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2001.08442

zbMATH Keywords

high-frequency trading datalimit order bookmarked point processesquasi-likelihood analysistrade aggressivenesstrade signature

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• Analyzing order flows in limit order books with ratios of Cox-type intensities
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• Schwarz type model comparison for LAQ models
• Stability of nonlinear Hawkes processes
• State-dependent Hawkes processes and their application to limit order book modelling
• Statistical inference for ergodic point processes and application to limit order book
• Statistical inference for spatial Poisson processes
• The limits of statistical significance of Hawkes processes fitted to financial data
• The price impact of order book events: market orders, limit orders and cancellations
• The role of volume in order book dynamics: a multivariate Hawkes process analysis

Cited in

(1)

• Self and mutually exciting point process embedding flexible residuals and intensity with discretely Markovian dynamics

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