Multivariate General Compound Point Processes in Limit Order Books
In this paper, we focus on a new generalization of multivariate general compound Hawkes process (MGCHP), which we referred to as the multivariate general compound point process (MGCPP). Namely, we applied a multivariate point process to model the order flow instead of the Hawkes process. Law of large numbers (LLN) and two functional central limit theorems (FCLTs) for the MGCPP were proved in this work. Applications of the MGCPP in the limit order market were also considered. We provided numerical simulations and comparisons for the MGCPP and MGCHP by applying Google, Apple, Microsoft, Amazon, and Intel trading data
Year of publication: |
2020
|
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Authors: | Guo, Qi |
Other Persons: | Remillard, Bruno (contributor) ; Swishchuk, Anatoliy V. (contributor) |
Publisher: |
[2020]: [S.l.] : SSRN |
Subject: | Theorie | Theory | Wertpapierhandel | Securities trading | Marktmikrostruktur | Market microstructure | Multivariate Analyse | Multivariate analysis |
Saved in:
freely available
Extent: | 1 Online-Ressource (16 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 31, 2020 erstellt |
Classification: | C02 - Mathematical Methods |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012826762
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