Analyzing order flows in limit order books with ratios of Cox-type intensities

DOI10.1080/14697688.2019.1637927zbMath1431.91383arXiv1805.06682OpenAlexW3104793822WikidataQ127351047 ScholiaQ127351047MaRDI QIDQ5215440

Nakahiro Yoshida, Ioane Muni Toke

Publication date: 10 February 2020

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

Full work available at URL: https://arxiv.org/abs/1805.06682

zbMATH Keywords

imbalancepoint processesspreadHawkes processesCox processestrading signalsorder book modelsratio models

Mathematics Subject Classification ID

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

Related Items (4)

Quasi-likelihood analysis and its applications ⋮ Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes ⋮ Marked point processes and intensity ratios for limit order book modeling ⋮ A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy

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