Multivariate general compound point processes in limit order books

Artikel

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Risks ; ISSN: 2227-9091 ; Volume: 8 ; Year: 2020 ; Issue: 3 ; Pages: 1-20 ; Basel: MDPI

Classification and Topics

• Classification: Wirtschaft
• Subject: 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)

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Guo, Qi ; Remillard, Bruno ; Sviščuk, Anatolij
• Event: Veröffentlichung
• (who): MDPI
• (where): Basel
• (when): 2020

Further information

• DOI: doi:10.3390/risks8030098
• Handle: http://hdl.handle.net/10419/258051
• Last update: 10.03.2025, 11:44 AM CET