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Multivariate General Compound Point Processes in Limit Order Books

In this paper, we focus on a new generalization of multivariate general compound Hawkes process (MGCHP), which we referred to as the multivariate general compound point process (MGCPP). Namely, we applied a multivariate point process to model the order flow instead of the Hawkes process. The law of...

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Principais autores: Qi Guo, Bruno Remillard, Anatoliy Swishchuk
Formato: Artigo
Idioma:Inglês
Publicado em: MDPI AG 2020-09-01
coleção:Risks
Assuntos:
point process (PP)
multivariate point processes (MPP)
multivariate general compound point processes (MGCPP)
limit order books (LOB)
functional central limit theorems (FCLT)
law of large numbers (LLN)
Acesso em linha:https://www.mdpi.com/2227-9091/8/3/98
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