Long-Time Behavior of a Hawkes Process--Based Limit Order Book

Citations

Cited by:

1. Maxime Morariu-Patrichi & Mikko S. Pakkanen, 2018. "State-dependent Hawkes processes and their application to limit order book modelling," Papers 1809.08060, arXiv.org, revised Sep 2021.
2. Jain, Konark & Firoozye, Nick & Kochems, Jonathan & Treleaven, Philip, 2024. "Limit Order Book dynamics and order size modelling using Compound Hawkes Process," Finance Research Letters, Elsevier, vol. 69(PA).
   • Konark Jain & Nick Firoozye & Jonathan Kochems & Philip Treleaven, 2023. "Limit Order Book Dynamics and Order Size Modelling Using Compound Hawkes Process," Papers 2312.08927, arXiv.org, revised Aug 2024.
3. Clinet, Simon & Yoshida, Nakahiro, 2017. "Statistical inference for ergodic point processes and application to Limit Order Book," Stochastic Processes and their Applications, Elsevier, vol. 127(6), pages 1800-1839.
4. Xuefeng Gao & Xiang Zhou & Lingjiong Zhu, 2017. "Transform Analysis for Hawkes Processes with Applications in Dark Pool Trading," Papers 1710.01452, arXiv.org.
5. Nakahiro Yoshida, 2022. "Quasi-likelihood analysis and its applications," Statistical Inference for Stochastic Processes, Springer, vol. 25(1), pages 43-60, April.
6. Fabrizio Lillo, 2021. "Order flow and price formation," Papers 2105.00521, arXiv.org.
7. Kim, Gunhee & Choe, Geon Ho, 2019. "Limit properties of continuous self-exciting processes," Statistics & Probability Letters, Elsevier, vol. 155(C), pages 1-1.
8. Xiaofei Lu & Frédéric Abergel, 2017. "Limit order book modelling with high dimensional Hawkes processes," Working Papers hal-01512430, HAL.
9. Simon Clinet, 2020. "Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes," Papers 2001.11624, arXiv.org, revised Aug 2021.
10. Fan Fang & Waichung Chung & Carmine Ventre & Michail Basios & Leslie Kanthan & Lingbo Li & Fan Wu, 2020. "Ascertaining price formation in cryptocurrency markets with DeepLearning," Papers 2003.00803, arXiv.org.
11. Eduard Silantyev, 2019. "Order flow analysis of cryptocurrency markets," Digital Finance, Springer, vol. 1(1), pages 191-218, November.
12. Peng Wu & Marcello Rambaldi & Jean-François Muzy & Emmanuel Bacry, 2023. "A single queue-reactive Hawkes model for the order flow," Post-Print hal-02409073, HAL.
13. Hamza Bodor & Laurent Carlier, 2025. "Deep Learning Meets Queue-Reactive: A Framework for Realistic Limit Order Book Simulation," Papers 2501.08822, arXiv.org.
14. Peng Wu & Marcello Rambaldi & Jean-François Muzy & Emmanuel Bacry, 2021. "Queue-reactive Hawkes models for the order flow," Working Papers hal-02409073, HAL.
15. Ingemar Kaj & Mine Caglar, 2017. "A buffer Hawkes process for limit order books," Papers 1710.03506, arXiv.org.
16. Zhicheng Li & Haipeng Xing & Xinyun Chen, 2019. "A multifactor regime-switching model for inter-trade durations in the limit order market," Papers 1912.00764, arXiv.org.
17. Peng Wu & Marcello Rambaldi & Jean-Franc{c}ois Muzy & Emmanuel Bacry, 2019. "Queue-reactive Hawkes models for the order flow," Papers 1901.08938, arXiv.org.
18. Simon Clinet, 2022. "Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes," Statistical Inference for Stochastic Processes, Springer, vol. 25(2), pages 189-225, July.
19. Li, Zhicheng & Chen, Xinyun & Xing, Haipeng, 2023. "A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market," Economic Modelling, Elsevier, vol. 118(C).
20. Xiaofei Lu & Fr'ed'eric Abergel, 2018. "Order-book modelling and market making strategies," Papers 1806.05101, arXiv.org.
21. Ulrich Horst & Wei Xu, 2017. "A Scaling Limit for Limit Order Books Driven by Hawkes Processes," Papers 1709.01292, arXiv.org, revised Aug 2018.
22. Maxime Morariu-Patrichi & Mikko Pakkanen, 2018. "State-dependent Hawkes processes and their application to limit order book modelling," CREATES Research Papers 2018-26, Department of Economics and Business Economics, Aarhus University.
23. Ulrich Horst & Dörte Kreher, 2018. "Second order approximations for limit order books," Finance and Stochastics, Springer, vol. 22(4), pages 827-877, October.
24. Nicolas Baradel & Bruno Bouchard & David Evangelista & Othmane Mounjid, 2018. "Optimal inventory management and order book modeling," Working Papers hal-01710301, HAL.
25. Nicolas Baradel & Bruno Bouchard & David Evangelista & Othmane Mounjid, 2018. "Optimal inventory management and order book modeling," Papers 1802.08135, arXiv.org, revised Nov 2018.
26. Xiaofei Lu & Frédéric Abergel, 2018. "High dimensional Hawkes processes for limit order books Modelling, empirical analysis and numerical calibration," Post-Print hal-01686122, HAL.