Modelling Bid and Ask Prices Using Constrained Hawkes Processes: Ergodicity and Scaling Limit

DOI10.1137/130912980zbMath1323.37054OpenAlexW2012157439MaRDI QIDQ2940755

Frederic Abergel, Ban Zheng, François Roueff

Publication date: 20 January 2015

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/130912980

zbMATH Keywords

ergodicityscaling limitpoint processesMarkov modelbid-ask spreadHawkes processesmicrostructure noiselimit order book

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Discrete-time Markov processes on general state spaces (60J05) Ergodicity, mixing, rates of mixing (37A25) Dynamical systems in optimization and economics (37N40) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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