Price impact of large orders using Hawkes processes

DOI10.1017/S1446181119000038MaRDI QIDQ4966641zbMATH OpenOpenAlexFDO

Authors

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)

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Cites work

• scientific article; zbMATH DE number 192908 (Why is no real title available?)
• A fully consistent, minimal model for nonlinear market impact
• Buy Low, Sell High: A High Frequency Trading Perspective
• Continuous Auctions and Insider Trading
• Dynamic optimal execution in a mixed-market-impact Hawkes price model
• Hawkes model for price and trades high-frequency dynamics
• High-frequency trading in a limit order book
• Modelling microstructure noise with mutually exciting point processes
• No-dynamic-arbitrage and market impact
• Optimal execution with dynamic order flow imbalance
• Order book approach to price impact
• Price Manipulation and Quasi-Arbitrage
• Some limit theorems for Hawkes processes and application to financial statistics
• Spectra of some self-exciting and mutually exciting point processes
• Statistical theory of the continuous double auction
• The cost of illiquidity and its effects on hedging

Cited in

(10)

• Dynamic optimal execution in a mixed-market-impact Hawkes price model
• Hawkes model for price and trades high-frequency dynamics
• Endogenous liquidity crises
• The tick-by-tick dynamical consistency of price impact in limit order books
• Portfolio liquidation games with self‐exciting order flow
• The effects of trade size and market depth on immediate price impact in a limit order book market
• The role of fleeting orders on option expiration days
• How efficiency shapes market impact
• Price Impact Without Averaging
• The role of volume in order book dynamics: a multivariate Hawkes process analysis

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