The role of volume in order book dynamics: a multivariate Hawkes process analysis

@article{Rambaldi2016TheRO,
  title={The role of volume in order book dynamics: a multivariate Hawkes process analysis},
  author={Marcello Rambaldi and Emmanuel Bacry and Fabrizio Lillo},
  journal={Quantitative Finance},
  year={2016},
  volume={17},
  pages={1020 - 999}
}
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… 
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