Related papers: Order Book Queue Hawkes-Markovian Modeling

The event sequence of many diverse systems is represented as a sequence of discrete events in a continuous space. Examples of such an event sequence are earthquake aftershock events, financial transactions, e-commerce transactions, social…

We construct a general procedure for the Quasi Likelihood Analysis applied to a multivariate point process on the real half line in an ergodic framework. More precisely, we assume that the stochastic intensity of the underlying model…

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…

Hawkes processes are a class of simple point processes that are self-exciting and have clustering effect, with wide applications in finance, social networks and many other fields. This paper considers a self-exciting Hawkes process where…

We introduce a new non parametric method that allows for a direct, fast and efficient estimation of the matrix of kernel norms of a multivariate Hawkes process, also called branching ratio matrix. We demonstrate the capabilities of this…

Price changes are induced by aggressive market orders in stock market. We introduce a bivariate marked Hawkes process to model aggressive market order arrivals at the microstructural level. The order arrival intensity is marked by an…

We propose a model for the dynamics of a limit order book in a liquid market where buy and sell orders are submitted at high frequency. We derive a functional central limit theorem for the joint dynamics of the bid and ask queues and show…

The order flow in high-frequency financial markets has been of particular research interest in recent years, as it provides insights into trading and order execution strategies and leads to better understanding of the supply-demand…

This paper considers a Markovian model of a limit order book where time-dependent rates are allowed. With the objective of understanding the mechanisms through which a microscopic model of an orderbook can converge to more general diffusion…

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…

The Hawkes model is a past-dependent point process, widely used in various fields for modeling temporal clustering of events. Extending this framework, the multidimensional marked Hawkes process incorporates multiple interacting event types…

Hawkes process is a class of simple point processes that is self-exciting and has clustering effect. The intensity of this point process depends on its entire past history. It has wide applications in finance, insurance, neuroscience,…

A simple Hawkes model have been developed for the price tick structure dynamics incorporating market microstructure noise and trade clustering. In this paper, the model is extended with random mark to deal with more realistic price tick…

Point processes are widely used statistical models for continuous-time discrete event data, such as medical records, crime reports, and social network interactions, to capture the influence of historical events on future occurrences. In…

The problem of appropriately matching items subject to compatibility constraints arises in a number of important applications. While most of the literature on matching theory focuses on a static setting with a fixed number of items, several…

We introduce a multivariate Hawkes process with constraints on its conditional density. It is a multivariate point process with conditional intensity similar to that of a multivariate Hawkes process but certain events are forbidden with…

The Hawkes process, a self-exciting point process, has a wide range of applications in modeling earthquakes, social networks and stock markets. The established estimation process requires that researchers have access to the exact time…

This work focuses on a self-exciting point process defined by a Hawkes-like intensity and a switching mechanism based on a hidden Markov chain. Previous works in such a setting assume constant intensities between consecutive events. We…

Market information events are generated intermittently and disseminated at high speeds in real-time. Market participants consume this high-frequency data to build limit order books, representing the current bids and offers for a given…

The multivariate Hawkes process is a past-dependent point process used to model the relationship of event occurrences between different phenomena.Although the Hawkes process was originally introduced to describe excitation effects, which…