IDEAS home Printed from https://ideas.repec.org/p/hal/journl/hal-03417460.html
   My bibliography  Save this paper

LOB modeling using Hawkes processes with a state-dependent factor

Author

Listed:
  • Emmanouil Sfendourakis

    (MICS - Mathématiques et Informatique pour la Complexité et les Systèmes - CentraleSupélec - Université Paris-Saclay)

  • Ioane Muni Toke

    (MICS - Mathématiques et Informatique pour la Complexité et les Systèmes - CentraleSupélec - Université Paris-Saclay)

Abstract

A point process model for order flows in limit order books is proposed, in which the conditional intensity is the product of a Hawkes component and a state-dependent factor. In the LOB context, state observations may include the observed imbalance or the observed spread. Full technical details for the computationally-efficient estimation of such a process are provided, using either direct likelihood maximization or EM-type estimation. Applications include models for bid and ask market orders, or for upwards and downwards price movements. Empirical results on multiple stocks traded in Euronext Paris underline the benefits of state-dependent formulations for LOB modeling, e.g. in terms of goodness-of-fit to financial data.

Suggested Citation

  • Emmanouil Sfendourakis & Ioane Muni Toke, 2023. "LOB modeling using Hawkes processes with a state-dependent factor," Post-Print hal-03417460, HAL.
    • Handle: RePEc:hal:journl:hal-03417460
    DOI: 10.1142/S2382626620500148
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:hal-03417460. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.