Related papers: LOB modeling using Hawkes processes with a state-d…
We study a novel large dimensional approximate factor model with regime changes in the loadings driven by a latent first order Markov process. By exploiting the equivalent linear representation of the model, we first recover the latent…
In this paper we complete and extend our previous work on stochastic control applied to high frequency market-making with inventory constraints and directional bets. Our new model admits several state variables (e.g. market spread,…
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…
The Hawkes process is a popular point process model for event sequences that exhibit temporal clustering. The intensity process of a Hawkes process consists of two components, the baseline intensity and the accumulated excitation effect due…
We study the dynamics of the limit order book of liquid stocks after experiencing large intra-day price changes. In the data we find large variations in several microscopical measures, e.g., the volatility the bid-ask spread, the bid-ask…
Using microscopic price models based on Hawkes processes, it has been shown that under some no-arbitrage condition, the high degree of endogeneity of markets together with the phenomenon of metaorders splitting generate rough Heston-type…
The Stochastic Calculus of Looping Sequences is suitable to describe the evolution of microbiological systems, taking into account the speed of the described activities. We propose a type system for this calculus that models how the…
In this work, we study the event occurrences of individuals interacting in a network. To characterize the dynamic interactions among the individuals, we propose a group network Hawkes process (GNHP) model whose network structure is observed…
This paper presents a novel model for simulating and analyzing sparse limit order books (LOBs), with a specific application to the European intraday electricity market. In illiquid markets, characterized by significant gaps between order…
Breakability rate of fragile item depends on the accumulated stress of heaped stock level. So breakablility rate can be considered as dependent parameter of stock variable. The unit production cost is a function of production rate and also…
This paper investigates optimal execution strategies in intraday energy markets through a mutually exciting Hawkes process model. Calibrated to data from the German intraday electricity market, the model effectively captures key empirical…
Load forecasts have become an integral part of energy security. Due to the various influencing factors that can be considered in such a forecast, there is also a wide range of models that attempt to integrate these parameters into a system…
A self-exciting point process with a continuous-time autoregressive moving average intensity process, named CARMA(p,q)-Hawkes model, has recently been introduced. The model generalizes the Hawkes process by substituting the…
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…
We consider a tick-by-tick model of price formation, in which buy and sell orders are modeled as self-exciting point processes (Hawkes process), similar to the one in [Bacry, Delattre, Hoffmann, Muzy, Modelling microstructure noise with…
Multivariate Hawkes Processes (MHPs) are an important class of temporal point processes that have enabled key advances in understanding and predicting social information systems. However, due to their complex modeling of temporal…
We define a new model using a Hawkes process as a subordinator in a standard Brownian motion. We demonstrate that this Hawkes subordinated Brownian motion or more succinctly, variance-Hawkes process can be fit to 2018 and 2019 natural gas…
In this paper we derive a scaling limit for an infinite dimensional limit order book model driven by Hawkes random measures. The dynamics of the incoming order flow is allowed to depend on the current market price as well as on a volume…
Limit order books (LOBs) match buyers and sellers in more than half of the world's financial markets. This survey highlights the insights that have emerged from the wealth of empirical and theoretical studies of LOBs. We examine the…
Modern data acquisition routinely produce massive amounts of event sequence data in various domains, such as social media, healthcare, and financial markets. These data often exhibit complicated short-term and long-term temporal…