General compound hawkes processes in limit order books

Artikel

In this paper, we study various new Hawkes processes. Specifically, we construct general compound Hawkes processes and investigate their properties in limit order books. With regard to these general compound Hawkes processes, we prove a Law of Large Numbers (LLN) and a Functional Central Limit Theorems (FCLT) for several specific variations. We apply several of these FCLTs to limit order books to study the link between price volatility and order flow, where the volatility in mid-price changes is expressed in terms of parameters describing the arrival rates and mid-price process.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Risks ; ISSN: 2227-9091 ; Volume: 8 ; Year: 2020 ; Issue: 1 ; Pages: 1-25 ; Basel: MDPI

Classification and Topics

• Classification: Wirtschaft
• Subject: functional central limit theorems ; general compound Hawkes processes ; Hawkes processes ; limit order books ; LOBSTER data

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Sviščuk, Anatolij ; Huffman, Aiden
• Event: Veröffentlichung
• (who): MDPI
• (where): Basel
• (when): 2020

Further information

• DOI: doi:10.3390/risks8010028
• Handle: http://hdl.handle.net/10419/257983
• Last update: 10.03.2025, 11:42 AM CET