Multivariate General Compound Point Processes in Limit Order Books
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Cited by:
- Qi Guo & Anatoliy Swishchuk & Bruno R'emillard, 2022. "Multivariate Hawkes-based Models in LOB: European, Spread and Basket Option Pricing," Papers 2209.07621, arXiv.org.
- Ana Roldan Contreras & Anatoliy Swishchuk, 2022. "Optimal Liquidation, Acquisition and Market Making Problems in HFT under Hawkes Models for LOB," Risks, MDPI, vol. 10(8), pages 1-32, August.
- Myles Sjogren & Timothy DeLise, 2021. "General Compound Hawkes Processes for Mid-Price Prediction," Papers 2110.07075, arXiv.org.
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Keywords
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);All these keywords.
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