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Long-Time Behavior of a Hawkes Process--Based Limit Order Book
12 references·14 citing·47 second hop
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this work references cited by second hop

References

  • 1983Point Processes and Queues: Martingale Dynamics.1,065 cited
  • 2010A Stochastic Model for Order Book Dynamics506 cited
  • 2003Statistical theory of the continuous double auction349 cited
  • 2011Econophysics review: I. Empirical facts345 cited
  • 2012Modelling microstructure noise with mutually exciting point processes304 cited
  • 2013Price Dynamics in a Markovian Limit Order Market294 cited
  • 2013Some limit theorems for Hawkes processes and application to financial statistics248 cited
  • 2013Critical reflexivity in financial markets: a Hawkes process analysis187 cited
  • 2012Non-parametric kernel estimation for symmetric Hawkes processes. Application to high frequency financial data178 cited
  • 2013Hawkes Process: Fast Calibration, Application to Trade Clustering, and Diffusive Limit129 cited
  • 2010Zero-intelligence realized variance estimation96 cited
  • 2013A MATHEMATICAL APPROACH TO ORDER BOOK MODELING79 cited

Cited by

  • 2021Ascertaining price formation in cryptocurrency markets with machine learning88 cited
  • 2016The role of volume in order book dynamics: a multivariate Hawkes process analysis73 cited
  • 2021State-dependent Hawkes processes and their application to limit order book modelling

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64 cited
  • 2018High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration63 cited
  • 2016Statistical inference for ergodic point processes and application to Limit Order Book42 cited
  • 2019A Gamma Ornstein-Uhlenbeck Model Driven by a Hawkes Process32 cited
  • 2016Optimal placement in a limit order book: an analytical approach29 cited
  • 2017A Weak Law of Large Numbers for a Limit Order Book Model with Fully State Dependent Order Dynamics28 cited
  • 2017Transform analysis for Hawkes processes with applications in dark pool trading26 cited
  • 2017A functional limit theorem for limit order books with state dependent price dynamics25 cited
  • 2019A Scaling Limit for Limit Order Books Driven by Hawkes Processes25 cited
  • 2017Ergodicity and Diffusivity of Markovian Order Book Models: A General Framework24 cited
  • 2021Perfect Sampling of Hawkes Processes and Queues with Hawkes Arrivals16 cited
  • 2021The Co-Production of Service: Modeling Service Times in Contact Centers Using Hawkes Processes16 cited