State-dependent Hawkes processes and their application to limit order book modelling

DOI10.1080/14697688.2021.1983199zbMath1490.91199arXiv1809.08060OpenAlexW2951007289MaRDI QIDQ5072914

Maxime Morariu-Patrichi, Mikko S. Pakkanen

Publication date: 5 May 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1809.08060

zbMATH Keywords

endogeneitymaximum likelihood estimationmarket microstructureHawkes processlimit order bookhigh-frequency financial data

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Financial markets (91G15)

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Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes ⋮ Marked point processes and intensity ratios for limit order book modeling ⋮ Infinite-server systems with Hawkes arrivals and Hawkes services ⋮ Interest Rates Term Structure Models Driven by Hawkes Processes ⋮ ESTIMATION OF A HIGH-DIMENSIONAL COUNTING PROCESS WITHOUT PENALTY FOR HIGH-FREQUENCY EVENTS ⋮ Continuous‐time stochastic gradient descent for optimizing over the stationary distribution of stochastic differential equations

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