Artikel
Multivariate general compound point processes in limit order books
In this paper, we focus on a new generalization of multivariate general compound Hawkes process (MGCHP), which we referred to as the multivariate general compound point process (MGCPP). Namely, we applied a multivariate point process to model the order flow instead of the Hawkes process. The law of large numbers (LLN) and two functional central limit theorems (FCLTs) for the MGCPP were proved in this work. Applications of the MGCPP in the limit order market were also considered. We provided numerical simulations and comparisons for the MGCPP and MGCHP by applying Google, Apple, Microsoft, Amazon, and Intel trading data.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Risks ; ISSN: 2227-9091 ; Volume: 8 ; Year: 2020 ; Issue: 3 ; Pages: 1-20 ; Basel: MDPI
- Klassifikation
-
Wirtschaft
- Thema
-
point process (PP)
multivariate point processes (MPP)
multivariate general compound point processes (MGCPP)
limit order books (LOB)
functional central limit theorems (FCLT)
law of large numbers (LLN)
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Guo, Qi
Remillard, Bruno
Sviščuk, Anatolij
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2020
- DOI
-
doi:10.3390/risks8030098
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Guo, Qi
- Remillard, Bruno
- Sviščuk, Anatolij
- MDPI
Entstanden
- 2020
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