Modelling of limit order books by general compound Hawkes processes with implementations

DOI10.1007/s11009-020-09803-zzbMath1480.60133OpenAlexW3036201078MaRDI QIDQ2241518

Anatoliy Swishchuk

Publication date: 9 November 2021

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-020-09803-z

zbMATH Keywords

functional central limit theoremlaw of large numbersdiffusion limitslimit order booksgeneral compound Hawkes processesLOBster and Cisco dataregime-switching general compound Hawkes processes

Mathematics Subject Classification ID

Strong limit theorems (60F15) Financial applications of other theories (91G80) Functional limit theorems; invariance principles (60F17) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (1)

A Markov modulated dynamic contagion process with application to credit risk

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