The role of volume in order book dynamics: a multivariate Hawkes process analysis
By M. Rambaldi, Emmanuel Bacry, Fabrizio Lillo. 2016
73 citations recorded by the source corpus.
Abstract We show that multivariate Hawkes processes coupled with the nonparametric estimation procedure first proposed in Bacry and Muzy [IEEE Trans. Inform. Theory, 2016, 62, 2184–2202] can be successfully used to study complex interactions between the time of arrival of orders and their size observed in a limit order book market. We apply this methodology to high-frequency order book data of futures traded at EUREX. Specifically, we demonstrate how this approach is amenable not only to analyse interplay between different order types (market orders, limit orders, cancellations) but also to include other relevant quantities, such as the order size, into the analysis, showing also that simple models assuming the independence between volume and time are not suitable to describe the data.
Subfields: Applied Mathematics, Artificial Intelligence, Molecular Biology
View Paper: https://www.semanticscholar.org/paper/70270570ce02ea2bd4c4d54f4b13a375121d3bbe
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Applied Mathematics
In Artificial Intelligence
In Molecular Biology
Citations in the corpus
- Hawkes processes and their applications to finance: a review (2018, methodology): “Rambaldi et al. (2017) Showed that multivariate Hawkes processes, coupled with the nonparametric estimation procedure proposed in Bacry and Muzy (2017), can be successfully used to study complex interactions between the time of arrival of orders in a LOB and their size.”