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Lyapunov function for a Hawkes process-based limit order book

Author

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  • Frédéric Abergel

    (MAS - Mathématiques Appliquées aux Systèmes - EA 4037 - Ecole Centrale Paris, FiQuant - Chaire de finance quantitative - MICS - Mathématiques et Informatique pour la Complexité et les Systèmes - CentraleSupélec)

Abstract

Document rendu obsolète par la mise en ligne de la dernière version de "Long time behaviour of a Hawkes process-based limit order book"

Suggested Citation

  • Frédéric Abergel, 2015. "Lyapunov function for a Hawkes process-based limit order book," Working Papers hal-01113533, HAL.
    • Handle: RePEc:hal:wpaper:hal-01113533
    Note: View the original document on HAL open archive server: https://hal.science/hal-01113533
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    File URL: https://hal.science/hal-01113533/document
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    References listed on IDEAS

    as
    1. Aymen Jedidi & Frédéric Abergel, 2013. "Stability and price scaling limit of a Hawkes-process based order book model," Working Papers hal-00821607, HAL.
    2. Frédéric Abergel & Aymen Jedidi, 2013. "A Mathematical Approach to Order Book Modelling," Post-Print hal-00621253, HAL.
    3. Frederic Abergel & Aymen Jedidi, 2010. "A Mathematical Approach to Order Book Modeling," Papers 1010.5136, arXiv.org, revised Mar 2013.
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    Cited by:

    1. Simon Clinet, 2020. "Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes," Papers 2001.11624, arXiv.org, revised Aug 2021.
    2. Xiaofei Lu & Fr'ed'eric Abergel, 2018. "Order-book modelling and market making strategies," Papers 1806.05101, arXiv.org.

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