Related papers: Compound Hawkes Processes in Limit Order Books
In high-frequency trading (HFT), leveraging limit order books (LOB) to model stock price movements is crucial for achieving profitable outcomes. However, this task is challenging due to the high-dimensional and volatile nature of the…
Many self-exciting systems change because endogenous amplification, as opposed to exogenous forcing, varies. We study a Hawkes process with fixed background rate and kernel, but piecewise time-varying productivity. For exponential kernels…
We introduce a Cox-type model for relative intensities of orders flows in a limit order book. The model assumes that all intensities share a common baseline intensity, which may for example represent the global market activity. Parameters…
R. Cont and A. de Larrard (SIAM J. Finan. Math, 2013) introduced a tractable stochastic model for the dynamics of a limit order book, computing various quantities of interest such as the probability of a price increase or the diffusion…
Algorithmic trading relies on extracting meaningful signals from diverse financial data sources, including candlestick charts, order statistics on put and canceled orders, traded volume data, limit order books, and news flow. While deep…
This paper studies a limit order book (LOB) model, in which the order dynamics depend on both, the current best available prices and the current volume density functions. For the joint dynamics of the best bid price, the best ask price, and…
Univariate marked Hawkes processes are used to model a range of real-world phenomena including earthquake aftershock sequences, contagious disease spread, content diffusion on social media platforms, and order book dynamics. This paper…
Fueled in part by recent applications in neuroscience, the multivariate Hawkes process has become a popular tool for modeling the network of interactions among high-dimensional point process data. While evaluating the uncertainty of the…
Through the analysis of a dataset of ultra high frequency order book updates, we introduce a model which accommodates the empirical properties of the full order book together with the stylized facts of lower frequency financial data. To do…
Hawkes processes are a popular framework to model the occurrence of sequential events, i.e., occurrence dynamics, in several fields such as social diffusion. In real-world scenarios, the inter-arrival time among events is irregular.…
This work's purpose is to understand the dynamics of limit order books in order-driven markets. We try to illustrate a dynamical trading mechanism attached to the microstructure of limit order markets. We capture the iterative nature of…
We propose an effective method to solve the event sequence clustering problems based on a novel Dirichlet mixture model of a special but significant type of point processes --- Hawkes process. In this model, each event sequence belonging to…
This paper develops central limit theorems (CLT's) and large deviations results for additive functionals associated with reflecting diffusions in which the functional may include a term associated with the cumulative amount of boundary…
The Hawkes process is a simple point process, whose intensity function depends on the entire past history and is self-exciting and has the clustering property. The Hawkes process is in general non-Markovian. The linear Hawkes process has…
We propose a general non-linear order book model that is built from the individual behaviours of the agents. Our framework encompasses Markovian and Hawkes based models. Under mild assumptions, we prove original results on the ergodicity…
There is a widespread recent interest in using ideas from statistical physics to model certain types of problems in economics and finance. The main idea is to derive the macroscopic behavior of the market from the random local interactions…
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…
We study the fluctuations of a stochastic epidemic model with memory of the last infections, varying infectivity, and waning immunity, as introduced in Guerin and Zotsa-Ngoufack:arXiv preprint arXiv:2505.00601. The dynamics of the epidemic…
This paper consists of two parts. The first part is devoted to empirical analysis of consolidated order book (COB) for the index RTS futures. In the second part we consider Poissonian multi--agent model of the COB. By varying parameters of…
We present a careful analysis of possible issues on the application of the self-excited Hawkes process to high-frequency financial data. We carefully analyze a set of effects leading to significant biases in the estimation of the…