Multivariate General Compound Hawkes Processes and their Applications in Limit Order Books

Wilmott ◽  
2020 ◽  
Vol 2020 (107) ◽  
pp. 42-51 ◽  
Author(s):  
Qi Guo ◽  
Anatoliy Swishchuk
Keyword(s):  
Limit Order ◽  
Hawkes Processes ◽  
Order Books ◽  
Limit Order Books

scholarly journals Compound Hawkes Processes in Limit Order Books

2017 ◽  
Author(s):  
Anatoliy V. Swishchuk ◽  
Jonathan Chavez-Casillas ◽  
Robert Elliott
Keyword(s):  
Limit Order ◽  
Hawkes Processes ◽  
Order Books ◽  
Limit Order Books

scholarly journals General Compound Hawkes Processes in Limit Order Books

Risks ◽  
2020 ◽  
Vol 8 (1) ◽  
pp. 28
Author(s):  
Anatoliy Swishchuk ◽  
Aiden Huffman
Keyword(s):  
Limit Theorems ◽  
Law Of Large Numbers ◽  
Price Volatility ◽  
Limit Order ◽  
Hawkes Processes ◽  
Large Numbers ◽  
Order Books ◽  
Limit Order Books ◽  
Functional Central Limit Theorems ◽  
Functional Central Limit

In this paper, we study various new Hawkes processes. Specifically, we construct general compound Hawkes processes and investigate their properties in limit order books. With regard to these general compound Hawkes processes, we prove a Law of Large Numbers (LLN) and a Functional Central Limit Theorems (FCLT) for several specific variations. We apply several of these FCLTs to limit order books to study the link between price volatility and order flow, where the volatility in mid-price changes is expressed in terms of parameters describing the arrival rates and mid-price process.

scholarly journals A Scaling Limit for Limit Order Books Driven by Hawkes Processes

2019 ◽  
Vol 10 (2) ◽  
pp. 350-393 ◽  
Author(s):  
Ulrich Horst ◽  
Wei Xu
Keyword(s):  
Scaling Limit ◽  
Limit Order ◽  
Hawkes Processes ◽  
Order Books ◽  
Limit Order Books

scholarly journals High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration

2018 ◽  
Vol 18 (2) ◽  
pp. 249-264 ◽  
Author(s):  
Xiaofei Lu ◽  
Frédéric Abergel
Keyword(s):  
Empirical Analysis ◽  
High Dimensional ◽  
Limit Order ◽  
Hawkes Processes ◽  
Order Books ◽  
Limit Order Books

scholarly journals Compound Hawkes processes in limit order books

2019 ◽  
pp. 191-214 ◽  
Author(s):  
Anatoliy Swishchuk ◽  
Bruno Remillard ◽  
Robert Elliott ◽  
Jonathan Chavez-Casillas
Keyword(s):  
Limit Order ◽  
Hawkes Processes ◽  
Order Books ◽  
Limit Order Books

scholarly journals General Compound Hawkes Processes in Limit Order Books

2017 ◽  
Author(s):  
Anatoliy V. Swishchuk
Keyword(s):  
Limit Order ◽  
Hawkes Processes ◽  
Order Books ◽  
Limit Order Books

scholarly journals General Compound Hawkes Processes in Limit Order Books

2018 ◽  
Author(s):  
Anatoliy V. Swishchuk ◽  
Aiden Huffman
Keyword(s):  
Limit Order ◽  
Hawkes Processes ◽  
Order Books ◽  
Limit Order Books

Limit Order Books

2015 ◽  
Author(s):  
Frederic Abergel ◽  
Anirban Chakraborti ◽  
Aymen Jedidi ◽  
Ioane Muni Toke ◽  
Marouane Anane
Keyword(s):  
Limit Order ◽  
Order Books ◽  
Limit Order Books

scholarly journals Deep learning for limit order books

2018 ◽  
Vol 19 (4) ◽  
pp. 549-570 ◽  
Author(s):  
Justin A. Sirignano
Keyword(s):  
Deep Learning ◽  
Limit Order ◽  
Order Books ◽  
Limit Order Books
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