High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration
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Publication:4554421
DOI10.1080/14697688.2017.1403142zbMath1400.91556OpenAlexW2782528930MaRDI QIDQ4554421
Publication date: 14 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2017.1403142
Related Items (10)
Closed-form Approximations in Multi-asset Market Making ⋮ State-dependent Hawkes processes and their application to limit order book modelling ⋮ Marked point processes and intensity ratios for limit order book modeling ⋮ Continuous‐time stochastic gradient descent for optimizing over the stationary distribution of stochastic differential equations ⋮ Optimal market-making strategies under synchronised order arrivals with deep neural networks ⋮ A Scaling Limit for Limit Order Books Driven by Hawkes Processes ⋮ A convergence criterion for systems of point processes from the convergence of their stochastic intensities ⋮ Disentangling and quantifying market participant volatility contributions ⋮ Mean field limits for interacting Hawkes processes in a diffusive regime ⋮ The dynamics of ex-ante weighted spread: an empirical analysis
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