LONG TIME BEHAVIOUR OF A HAWKES PROCESS-BASED LIMIT ORDER BOOK

Frédéric Abergel (1, 2) , Aymen Jedidi (2)

1 MAS - Mathématiques Appliquées aux Systèmes - EA 4037
2 FiQuant - Chaire de finance quantitative

This work is concerned with the modelling of limit order books using Hawkes processes with exponential kernels. Of particular interest to us is the asymptotic behaviour of the limit order book and the corresponding price dynamics.

Domaines: Microstructure des marchés [q-fin.TR]; Finance quantitative [q-fin.CP]

Frédéric Abergel, Aymen Jedidi. LONG TIME BEHAVIOUR OF A HAWKES PROCESS-BASED LIMIT ORDER BOOK. 2015. ⟨hal-01121711v2⟩