Corpus ID: 236447730

LOB modeling using Hawkes processes with a state-dependent factor

@inproceedings{Sfendourakis2021LOBMU,
  title={LOB modeling using Hawkes processes with a state-dependent factor},
  author={Emmanouil Sfendourakis and I. Toke},
  year={2021}
}
A point process model for order flows in limit order books is proposed, in which the conditional intensity is the product of a Hawkes component and a state-dependent factor. In the LOB context, state observations may include the observed imbalance or the observed spread. Full technical details for the computationally-efficient estimation of such a process are provided, using either direct likelihood maximization or EM-type estimation. Applications include models for bid and ask market orders… Expand

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References

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