Groupe d’études et de recherche en analyse des décisions

General compound Hawkes process in limit order books

Anatoliy Swishchuk University of Calgary, Canada

We’ll describe different type of Hawkes Processes and their applications in the limit order books. Their include one-dimensional, multi-dimensional and non-linear Hawkes Processes, to name a few. We’ll also introduce so-called general compound Hawkes process that is the most fit to the all the limit order books models. To study them, we’ll present some LLNs and FCLTs. We’ll also give a justification of our modelling and present some numerical examples using the real data. (The presentation is based on our joint work and collaboration with Bruno Remillard and Robert Elliott).


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