Next Article in Journal
High Frequency Price Change Spillovers in Bitcoin Markets
Previous Article in Journal
Credit Risk Migration and Economic Cycles
Open AccessArticle

Quantitative and Comparative Analyses of Limit Order Books with General Compound Hawkes Processes

Department of Mathematics and Statistics, University of Calgary, 2500 University Drive NW, Calgary, AB T2N1N4, Canada
*
Author to whom correspondence should be addressed.
Risks 2019, 7(4), 110; https://doi.org/10.3390/risks7040110
Received: 30 June 2019 / Revised: 17 September 2019 / Accepted: 25 October 2019 / Published: 1 November 2019
In this paper, we solve the problem of mid price movements arising in high-frequency and algorithmic trading using real data. Namely, we introduce different new types of General Compound Hawkes Processes (GCHPDO, GCHP2SDO, GCHPnSDO) and find their diffusive limits to model the mid price movements of 6 stocks-EBAY, FB, MU, PCAR, SMH, CSCO. We also define error rates to estimate the models fitting accuracy. Maximum Likelihood Estimation (MLE) and Particle Swarm Optimization (PSO) are used for Hawkes processes and models parameters’ calibration. View Full-Text
Keywords: general compound Hawkes process; diffusive limit; maximum likelihood estimation (MLE); particle swarm optimization (PSO); error measurements general compound Hawkes process; diffusive limit; maximum likelihood estimation (MLE); particle swarm optimization (PSO); error measurements
Show Figures

Figure 1

MDPI and ACS Style

He, Q.; Swishchuk, A. Quantitative and Comparative Analyses of Limit Order Books with General Compound Hawkes Processes. Risks 2019, 7, 110.

Show more citation formats Show less citations formats
Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Article Access Map by Country/Region

1
Back to TopTop