Modeling high-frequency non-homogeneous order flows by compound Cox processes

DOI10.1007/S10958-016-2757-6MaRDI QIDQ267623zbMATH OpenOpenAlexFDO

Authors A. V. Chertok, V. Yu. Korolev, A. Yu. Korchagin

Publication date 11 April 2016

Published in Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10958-016-2757-6

zbMATH Keywords

compound Cox processeshigh-frequency tradingnon-homogeneous order flows

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Trade models (91B60) Stochastic models in economics (91B70)

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Cited in

(8)

• Forecasting counting and time statistics of compound Cox processes: a focus on intensity phase type process, deletions and simultaneous events
• Confidence interval for correlation estimator between latent processes
• Estimating the efficient price from the order flow: a Brownian Cox process approach
• A multiscale model of high-frequency trading
• Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes
• A note on functional limit theorems for compound Cox processes
• Analysis of order book flows using a non-parametric estimation of the branching ratio matrix
• Analyzing order flows in limit order books with ratios of Cox-type intensities

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