General Compound Hawkes Processes in Limit Order Books
In this paper, we study various new Hawkes processes. Specifically, we construct general compound Hawkes processes and investigate their properties in limit order books. With regard to these general compound Hawkes processes, we prove a Law of Large Numbers (LLN) and a Functional Central Limit Theor...
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MDPI AG
2020-03-01
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| Series: | Risks |
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| Online Access: | https://www.mdpi.com/2227-9091/8/1/28 |
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doaj-3af93443dfc54922be0c93d8e78301292020-11-25T03:10:46ZengMDPI AGRisks2227-90912020-03-01812810.3390/risks8010028risks8010028General Compound Hawkes Processes in Limit Order BooksAnatoliy Swishchuk0Aiden Huffman1Department of Mathematics and Statistics, Faculty of Science, Calgary, AL T2N1N4, CanadaDepartment of Mathematics and Statistics, Faculty of Science, Calgary, AL T2N1N4, CanadaIn this paper, we study various new Hawkes processes. Specifically, we construct general compound Hawkes processes and investigate their properties in limit order books. With regard to these general compound Hawkes processes, we prove a Law of Large Numbers (LLN) and a Functional Central Limit Theorems (FCLT) for several specific variations. We apply several of these FCLTs to limit order books to study the link between price volatility and order flow, where the volatility in mid-price changes is expressed in terms of parameters describing the arrival rates and mid-price process.https://www.mdpi.com/2227-9091/8/1/28hawkes processesgeneral compound hawkes processeslimit order booksfunctional central limit theoremslobster data |
| collection |
DOAJ |
| language |
English |
| format |
Article |
| sources |
DOAJ |
| author |
Anatoliy Swishchuk Aiden Huffman |
| spellingShingle |
Anatoliy Swishchuk Aiden Huffman General Compound Hawkes Processes in Limit Order Books Risks hawkes processes general compound hawkes processes limit order books functional central limit theorems lobster data |
| author_facet |
Anatoliy Swishchuk Aiden Huffman |
| author_sort |
Anatoliy Swishchuk |
| title |
General Compound Hawkes Processes in Limit Order Books |
| title_short |
General Compound Hawkes Processes in Limit Order Books |
| title_full |
General Compound Hawkes Processes in Limit Order Books |
| title_fullStr |
General Compound Hawkes Processes in Limit Order Books |
| title_full_unstemmed |
General Compound Hawkes Processes in Limit Order Books |
| title_sort |
general compound hawkes processes in limit order books |
| publisher |
MDPI AG |
| series |
Risks |
| issn |
2227-9091 |
| publishDate |
2020-03-01 |
| description |
In this paper, we study various new Hawkes processes. Specifically, we construct general compound Hawkes processes and investigate their properties in limit order books. With regard to these general compound Hawkes processes, we prove a Law of Large Numbers (LLN) and a Functional Central Limit Theorems (FCLT) for several specific variations. We apply several of these FCLTs to limit order books to study the link between price volatility and order flow, where the volatility in mid-price changes is expressed in terms of parameters describing the arrival rates and mid-price process. |
| topic |
hawkes processes general compound hawkes processes limit order books functional central limit theorems lobster data |
| url |
https://www.mdpi.com/2227-9091/8/1/28 |
| work_keys_str_mv |
AT anatoliyswishchuk generalcompoundhawkesprocessesinlimitorderbooks AT aidenhuffman generalcompoundhawkesprocessesinlimitorderbooks |
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1724657482378248192 |