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Statistical inference for ergodic point processes and application to Limit Order Book
16 references·0 citing·49 second hop
Statistical inference for ergodic point processes and application to Limit Order Book (2016)Statistical inference for ergodic point p…Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics (2016)Estimation of slowly decreasi…Long-Time Behavior of a Hawkes Process--Based Limit Order Book (2015)Long-Time Behavior of a Hawke…Hawkes Processes in Finance (2015)Hawkes Processes in FinanceSimulating and Analyzing Order Book Data: The Queue-Reactive Model (2014)Simulating and Analyzing Orde…Modelling Bid and Ask Prices Using Constrained Hawkes Processes: Ergodicity and Scaling Limit (2014)Modelling Bid and Ask Prices …Price Dynamics in a Markovian Limit Order Market (2013)Price Dynamics in a Markovian…A MATHEMATICAL APPROACH TO ORDER BOOK MODELING (2013)A MATHEMATICAL APPROACH TO OR…Order Book Dynamics in Liquid Markets: Limit Theorems and Diffusion Approximations (2012)Order Book Dynamics in Liquid…Modelling microstructure noise with mutually exciting point processes (2012)Modelling microstructure nois…A Mathematical Approach to Order Book Modelling (2011)A Mathematical Approach to Or…“Market Making” in an Order Book Model and Its Impact on the Spread (2011)“Market Making” in an Order B…A Stochastic Model for Order Book Dynamics (2010)A Stochastic Model for Order …How Markets Slowly Digest Changes in Supply and Demand (2008)How Markets Slowly Digest Cha…An empirical behavioral model of liquidity and volatility (2007)An empirical behavioral model…Statistical theory of the continuous double auction (2003)Statistical theory of the con…Applied Probability and Queues (1987)Applied Probability and QueuesA Dynamic Model of the Limit Order Book (2009)How Markets Slowly Digest Changes in Supply and Demand (2009)Modeling financial contagion using mutually exciting jump processes (2015)The role of volume in order book dynamics: a multivariate Hawkes process analysis (2016)High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration (2018)State-dependent Hawkes processes and their application to limit order book modelling (2021)A Theory of the Term Structure of Interest Rates (1985)Measuring the Information Content of Stock Trades (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Hawkes processes and their applications to finance: a review (2017)The microstructural foundations of leverage effect and rough volatility (2018)Stock Selection via Spatiotemporal Hypergraph Attention Network: A Learning to Rank Approach (2021)Why Do Security Prices Change? 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References

  • 1987Applied Probability and Queues2,704 cited
  • 2010A Stochastic Model for Order Book Dynamics506 cited
  • 2015Hawkes Processes in Finance459 cited
  • 2003Statistical theory of the continuous double auction349 cited
  • 2012Modelling microstructure noise with mutually exciting point processes304 cited
  • 2013Price Dynamics in a Markovian Limit Order Market294 cited
  • 2007An empirical behavioral model of liquidity and volatility261 cited
  • 2008How Markets Slowly Digest Changes in Supply and Demand161 cited
  • 2014Simulating and Analyzing Order Book Data: The Queue-Reactive Model153 cited
  • 2016Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics106 cited
  • 2013A MATHEMATICAL APPROACH TO ORDER BOOK MODELING79 cited
  • 2015Long-Time Behavior of a Hawkes Process--Based Limit Order Book76 cited
  • 2011“Market Making” in an Order Book Model and Its Impact on the Spread70 cited
  • 2011A Mathematical Approach to Order Book Modelling67 cited
  • 2012Order Book Dynamics in Liquid Markets: Limit Theorems and Diffusion Approximations65 cited
  • 2014

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Modelling Bid and Ask Prices Using Constrained Hawkes Processes: Ergodicity and Scaling Limit
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