Related papers: General Compound Hawkes Processes in Limit Order B…

In this work we introduce two variants of multivariate Hawkes models with an explicit dependency on various queue sizes aimed at modeling the stochastic time evolution of a limit order book. The models we propose thus integrate the…

The Hawkes process is a counting process that has self- and mutually-exciting features with many applications in various fields. In recent years, there have been many interests in the mean-field results of the Hawkes process and its…

In this paper we establish a general dynamical Central Limit Theorem (CLT) for group actions which are exponentially mixing of all orders. In particular, the main result applies to Cartan flows on finite-volume quotients of simple Lie…

Hawkes Processes are a type of point process which models self-excitement among time events. It has been used in a myriad of applications, ranging from finance and earthquakes to crime rates and social network activity analysis.Recently, a…

This survey paper discusses behaviour of higher-order correlations for one-parameter dynamical systems and more generally for dynamical systems arising from group actions. In particular, we present a self-contained proof of quantitative…

We analyze a tractable model of a limit order book on short time scales, where the dynamics are driven by stochastic fluctuations between supply and demand. We establish the existence of a limiting distribution for the highest bid, and for…

This paper investigates real-time detection of spoofing activity in limit order books, focusing on cryptocurrency centralized exchanges. We first introduce novel order flow variables based on multi-scale Hawkes processes that account both…

We consider the stochastic volatility model obtained by adding a compound Hawkes process to the volatility of the well-known Heston model. A Hawkes process is a self-exciting counting process with many applications in mathematical finance,…

We prove a central limit type theorem for critical marked Hawkes processes. We study the case where the marks are i.i.d. with nonnegative values and their common distribution is either heavy tailed or has finite variance. The kernel…

This article presents a Hawkes process model with Markovian baseline intensities for high-frequency order book data modeling. We classify intraday order book trading events into a range of categories based on their order types and the price…

We consider N single server infinite buffer queues with service rate \beta. Customers arrive at rate N\alpha, choose L queues uniformly, and join the shortest. We study the processes R^N for large N, where R^N_t(k) is the fraction of queues…

The aim of this paper is to get asymptotic deviation bounds via a Large Deviation Principle (LDP) for cumulative processes also known as compound renewal processes or renewal-reward processes. These processes cumulate independent random…

We introduce a new deep learning architecture for predicting price movements from limit order books. This architecture uses a causal convolutional network for feature extraction in combination with masked self-attention to update features…

High-frequency market making is a liquidity-providing trading strategy that simultaneously generates many bids and asks for a security at ultra-low latency while maintaining a relatively neutral position. The strategy makes a profit from…

High Frequency Trading (HFT) represents an ever growing proportion of all financial transactions as most markets have now switched to electronic order book systems. The main goal of the paper is to propose continuous time equations which…

In this paper, we develop a general law of large numbers and central limit theorem for cumulative reward processes associated with finite state Markov jump processes with non-stationary transition rates. Such models commonly arise in…

We develop a large-scale deep learning model to predict price movements from limit order book (LOB) data of cash equities. The architecture utilises convolutional filters to capture the spatial structure of the limit order books as well as…

We introduce a Markovian single point process model, with random intensity regulated through a buffer mechanism and a self-exciting effect controlling the arrival stream to the buffer. The model applies the principle of the Hawkes process…

Accurately forecasting the direction of financial returns poses a formidable challenge, given the inherent unpredictability of financial time series. The task becomes even more arduous when applied to cryptocurrency returns, given the…

We prove several limit theorems for a simple class of partially hyperbolic fast-slow systems. We start with some well know results on averaging, then we give a substantial refinement of known large (and moderate) deviation results and…