PRICE IMPACT OF LARGE ORDERS USING HAWKES PROCESSES

DOI10.1017/S1446181119000038zbMath1417.91433OpenAlexW2560379672MaRDI QIDQ4966641

No author found.

Publication date: 27 June 2019

Published in: The ANZIAM Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s1446181119000038

zbMATH Keywords

Hawkes processeslimit order booksexecution of large ordersprice-impact function

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Portfolio theory (91G10)

Related Items

Portfolio liquidation games with self‐exciting order flow

Cites Work

• Unnamed Item
• Dynamic optimal execution in a mixed-market-impact Hawkes price model
• Some limit theorems for Hawkes processes and application to financial statistics
• No-dynamic-arbitrage and market impact
• Buy Low, Sell High: A High Frequency Trading Perspective
• THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING
• Order book approach to price impact
• Optimal Execution with Dynamic Order Flow Imbalance
• High-frequency trading in a limit order book
• Continuous Auctions and Insider Trading
• Statistical theory of the continuous double auction
• A fully consistent, minimal model for non-linear market impact
• Hawkes model for price and trades high-frequency dynamics
• Price Manipulation and Quasi-Arbitrage
• Spectra of some self-exciting and mutually exciting point processes
• Modelling microstructure noise with mutually exciting point processes