Related papers: Order Book Queue Hawkes-Markovian Modeling
In this paper we propose an overview of the recent academic literature devoted to the applications of Hawkes processes in finance. Hawkes processes constitute a particular class of multivariate point processes that has become very popular…
Stochastic processes find applications in modelling systems in a variety of disciplines. A large number of stochastic models considered are Markovian in nature. It is often observed that higher order Markov processes can model the data…
Hawkes process provides an effective statistical framework for analyzing the time-dependent interaction of neuronal spiking activities. Although utilized in many real applications, the classic Hawkes process is incapable of modelling…
Numerous studies grounded on Hawkes processes have been carried out in many fields including finance, biology and social network. Hawkes processes form a class of selfexciting simple point processes. In this article, we consider a general…
We introduce a prototype model in an attempt to capture some aspects of market dynamics simulating a trading mechanism. The model description starts with a discrete-space, continuous-time Markov process describing arrival and movement of…
The Hawkes process has garnered attention in recent years for its suitability to describe the behavior of online information cascades. Here, we present a fully tractable approach to analytically describe the distribution of the number of…
We propose a novel modeling framework for time-evolving networks allowing for long-term dependence in network features that update in continuous time. Dynamic network growth is functionally parameterized via the conditional intensity of a…
A micro-scale model is proposed for the evolution of the limit order book. Within this model, the flows of orders (claims) are described by doubly stochastic Poisson processes taking account of the stochastic character of intensities of bid…
In this study, we introduce a physical model inspired by statistical physics for predicting price volatility and expected returns by leveraging Level 3 order book data. By drawing parallels between orders in the limit order book and…
Dynamic jumps in the price and volatility of an asset are modelled using a joint Hawkes process in conjunction with a bivariate jump diffusion. A state space representation is used to link observed returns, plus nonparametric measures of…
This paper is based on a case study of an IT organization in a large, US-based healthcare provider, and develops simluation models to identify areas for performance improvement. These organizations are often grouped into departments by…
This work introduces a self and mutually exciting point process that embeds flexible residuals and intensity with discretely Markovian dynamics. By allowing the integration of diverse residual distributions, this model serves as an…
We propose a new model for the level I of a Limit Order Book (LOB), which incorporates the information about the standing orders at the opposite side of the book after each price change and the arrivals of new orders within the spread. Our…
Crowdfunding is a powerful tool for individuals or organizations seeking financial support from a vast audience. Despite widespread adoption, managers often lack information about dynamics of their platforms. Hawkes processes have been used…
This study investigates and uses multi-kernel Hawkes models to describe a high-frequency mid-price process. Each kernel represents a different responsive speed of market participants. Using the conditional Hessian, we examine whether the…
We examine the dynamics of the bid and ask queues of a limit order book and their relationship with the intensity of trade arrivals. In particular, we study the probability of price movements and trade arrivals as a function of the quote…
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…
Multivariate Hawkes processes are past-dependant point processes originally introduced to model excitation effects, later extended to a nonlinear framework to account for the opposite effect, known as inhibition. Motivated by applications…
We propose a microscopic model to describe the dynamics of the fundamental events in the limit order book (LOB): order arrivals and cancellations. It is based on an operator algebra for individual orders and describes their effect on the…
We introduce and show the existence of a Hawkes self-exciting point process with exponentially-decreasing kernel and where parameters are time-varying. The quantity of interest is defined as the integrated parameter…