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Limit order book modelling with high dimensional Hawkes processes

Authors
  • Lu, Xiaofei
  • Abergel, Frédéric
Publication Date
Mar 31, 2017
Source
HAL-UPMC
Keywords
Language
English
License
Unknown
External links

Abstract

The quality of various Hawkes-process-based order book models are assessed using some objectivecriteria. We start with a precise empirical analysis of the dependenciesbetween order arrivals of various types, then, models built from multivariate, possibly nonlinear,Hawkes processes with multiple exponential kernels are introduced. Models areevaluated based on the distribution of forward recurrence times and the signature plot.This approach allows us to discriminate between various Hawkes-process-based models, and provide a financial interpretation of the more successful ones in terms of theirbehaviour at various time scales, and the presence of inhibition as well as excitation effects.

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