Long-Time Behavior of a Hawkes Process--Based Limit Order Book
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Publication:3456836
DOI10.1137/15M1011469zbMath1335.91117MaRDI QIDQ3456836
Aymen Jedidi, Frederic Abergel
Publication date: 9 December 2015
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
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) Functional limit theorems; invariance principles (60F17) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
Related Items (25)
Statistical inference for ergodic point processes and application to limit order book ⋮ Quasi-likelihood analysis and its applications ⋮ Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes ⋮ 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 ⋮ State-dependent Hawkes processes and their application to limit order book modelling ⋮ Marked point processes and intensity ratios for limit order book modeling ⋮ Perfect Sampling of Hawkes Processes and Queues with Hawkes Arrivals ⋮ Optimal Liquidity-Based Trading Tactics ⋮ Hawkes Processes Modeling, Inference, and Control: An Overview ⋮ Order Book Queue Hawkes Markovian Modeling ⋮ Ergodicity and Diffusivity of Markovian Order Book Models: A General Framework ⋮ Large deviations and applications for Markovian Hawkes processes with a large initial intensity ⋮ Precise deviations for Hawkes processes ⋮ A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process ⋮ Optimal placement in a limit order book: an analytical approach ⋮ Limit properties of continuous self-exciting processes ⋮ Second order approximations for limit order books ⋮ Optimal inventory management and order book modeling ⋮ Confidence interval for correlation estimator between latent processes ⋮ Estimation of Correlation Between Latent Processes ⋮ A Scaling Limit for Limit Order Books Driven by Hawkes Processes ⋮ The limits of statistical significance of Hawkes processes fitted to financial data ⋮ A Weak Law of Large Numbers for a Limit Order Book Model with Fully State Dependent Order Dynamics
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