Sign in to use this feature.

Years

Between: -

Subjects

remove_circle_outline
remove_circle_outline

Journals

Article Types

Countries / Regions

Search Results (1)

Search Parameters:
Keywords = multivariate general compound point processes (MGCPP)

Order results
Result details
Results per page
Select all
Export citation of selected articles as:
20 pages, 693 KiB  
Article
Multivariate General Compound Point Processes in Limit Order Books
by Qi Guo, Bruno Remillard and Anatoliy Swishchuk
Risks 2020, 8(3), 98; https://doi.org/10.3390/risks8030098 - 11 Sep 2020
Cited by 5 | Viewed by 3725
Abstract
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 [...] Read more.
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. The 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. Full article
(This article belongs to the Special Issue Stochastic Modelling in Financial Mathematics)
Show Figures

Figure 1

Back to TopTop