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Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps
Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013
We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...
Persistent link: https://www.econbiz.de/10010256970
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High-dimensional Hawkes processes for limit order books : modelling, empirical analysis and numerical calibration
Lu, Xiaofei; Abergel, Frédéric - In: Quantitative finance 18 (2018) 2, pp. 249-264
Persistent link: https://www.econbiz.de/10011905913
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Analyzing order flows in limit order books with ratios of Cox-type intensities
Toke, Ioane Muni; Yoshida, Nakahiro - In: Quantitative finance 20 (2020) 1, pp. 81-98
Persistent link: https://www.econbiz.de/10012194856
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Optimal liquidation, acquisition and market making problems in HFT under Hawkes models for LOB
Contreras, Ana Roldan; Sviščuk, Anatolij - In: Risks : open access journal 10 (2022) 8, pp. 1-32
The present paper is focused on the solution of optimal control problems such as optimal acquisition, optimal liquidation, and market making in relation to the high-frequency trading market. We have modeled optimal control problems with the price approximated by the diffusion process for the...
Persistent link: https://www.econbiz.de/10013368241
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General compound hawkes processes in limit order books
Sviščuk, Anatolij; Huffman, Aiden - In: Risks : open access journal 8 (2020) 1/28, pp. 1-25
to limit order books to study the link between price volatility and order flow, where the volatility in mid-price changes …
Persistent link: https://www.econbiz.de/10012203654
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Improved volatility estimation based on limit order books
Bibinger, Markus; Jirak, Moritz; Reiß, Markus - 2014
, which reveals an interesting connection to the theory of Brownian excursion areas. A major application is the estimation of … the integrated squared volatility of an effcient price process Xt from intra-day order book quotes. We derive n -1/3 as … optimal convergence rate of integrated squared volatility estimation in a high-frequency framework with n observations (in …
Persistent link: https://www.econbiz.de/10010412417
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Optimal trade execution for Gaussian signals with power-law resilience
Forde, Martin; Sánchez-Betancourt, Leandro; Smith, Benjamin - In: Quantitative finance 22 (2022) 3, pp. 585-596
Persistent link: https://www.econbiz.de/10013167782
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The microstructural foundations of leverage effect and rough volatility
El Euch, Omar; Fukasawa, Masaaki; Rosenbaum, Mathieu - In: Finance and stochastics 22 (2018) 2, pp. 241-280
Persistent link: https://www.econbiz.de/10011945670
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Modelling trades-through in a limit order book using hawkes processes
Toke, Ioane Muni; Pomponio, Fabrizio - 2012
The authors model trades-through, i.e. transactions that reach at least the second level of limit orders in an order book. Using tick-by-tick data on Euronext-traded stocks, they show that a simple bivariate Hawkes process fits nicely their empirical observations of tradesthrough. The authors...
Persistent link: https://www.econbiz.de/10009550135
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Modelling trades-through in a limited order book using Hawkes processes
Muni Toke, Ioane; Pomponio, Fabrizio - 2011
We model trades-through, i.e. transactions that reach at least the second level of limit orders in an order book. Using tick-by-tick data on Euronext-traded stocks, we show that a simple bivariate Hawkes process fits nicely our empirical observations of trades-through. We show that the...
Persistent link: https://www.econbiz.de/10009244219