Modeling high-frequency non-homogeneous order flows by compound Cox processes

DOI10.1007/s10958-016-2757-6zbMath1342.60073OpenAlexW3122521223MaRDI QIDQ267623

V. Yu. Korolev, A. Yu. Korchagin, A. V. Chertok

Publication date: 11 April 2016

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10958-016-2757-6

zbMATH Keywords

high-frequency tradingcompound Cox processesnon-homogeneous order flows

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Trade models (91B60) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes ⋮ A note on functional limit theorems for compound Cox processes ⋮ Confidence interval for correlation estimator between latent processes ⋮ Forecasting counting and time statistics of compound Cox processes: a focus on intensity phase type process, deletions and simultaneous events

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