• Corpus ID: 236134444

Order Book Queue Hawkes-Markovian Modeling

@inproceedings{Protter2021OrderBQ,
  title={Order Book Queue Hawkes-Markovian Modeling},
  author={Philip Protter and Qianfan Wu and Shihao Yang},
  year={2021}
}
This article presents a Hawkes process model with Markovian baseline intensities for high-frequency order book data modeling. We classify intraday order book trading events into a range of categories based on their order types and the price changes after their arrivals. To capture the stimulating effects between multiple types of order book events, we use the multivariate Hawkes process to model the selfand mutuallyexciting event arrivals. We also integrate a Markovian baseline intensity into… 

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