A Scaling Limit for Limit Order Books Driven by Hawkes Processes
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Publication:5227409
DOI10.1137/17M1148682zbMath1422.91803arXiv1709.01292OpenAlexW2963919247MaRDI QIDQ5227409
Publication date: 26 July 2019
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1709.01292
Functional limit theorems; invariance principles (60F17) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Actuarial science and mathematical finance (91G99)
Related Items (6)
The Malliavin-Stein method for Hawkes functionals ⋮ Limits of Limit-Order Books ⋮ Multivariate Hawkes processes with simultaneous occurrence of excitation events coming from different sources ⋮ A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process ⋮ Functional limit theorems for marked Hawkes point measures ⋮ The microstructure of stochastic volatility models with self-exciting jump dynamics
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