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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Hlavní autoři:	Qi Guo, Bruno Remillard, Anatoliy Swishchuk
Médium:	Artigo
Jazyk:	Inglês
Vydáno:	MDPI AG 2020-09-01
Edice:	Risks
Témata:	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)
On-line přístup:	https://www.mdpi.com/2227-9091/8/3/98
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