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Analysis of order book flows using a nonparametric estimation of the branching ratio matrix

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  • Massil Achab
  • Emmanuel Bacry
  • Jean-Franc{c}ois Muzy
  • Marcello Rambaldi

Abstract

We introduce a new non parametric method that allows for a direct, fast and efficient estimation of the matrix of kernel norms of a multivariate Hawkes process, also called branching ratio matrix. We demonstrate the capabilities of this method by applying it to high-frequency order book data from the EUREX exchange. We show that it is able to uncover (or recover) various relationships between all the first level order book events associated with some asset when mapped to a 12-dimensional process. We then scale up the model so as to account for events on two assets simultaneously and we discuss the joint high-frequency dynamics.

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  • Massil Achab & Emmanuel Bacry & Jean-Franc{c}ois Muzy & Marcello Rambaldi, 2017. "Analysis of order book flows using a nonparametric estimation of the branching ratio matrix," Papers 1706.03411, arXiv.org.
    • Handle: RePEc:arx:papers:1706.03411
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    References listed on IDEAS

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    1. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
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