High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration

Citations

Cited by:

1. Maxime Morariu-Patrichi & Mikko S. Pakkanen, 2018. "State-dependent Hawkes processes and their application to limit order book modelling," Papers 1809.08060, arXiv.org, revised Sep 2021.
2. Jain, Konark & Firoozye, Nick & Kochems, Jonathan & Treleaven, Philip, 2024. "Limit Order Book dynamics and order size modelling using Compound Hawkes Process," Finance Research Letters, Elsevier, vol. 69(PA).
   • Konark Jain & Nick Firoozye & Jonathan Kochems & Philip Treleaven, 2023. "Limit Order Book Dynamics and Order Size Modelling Using Compound Hawkes Process," Papers 2312.08927, arXiv.org, revised Aug 2024.
3. Kramer, Anke & Kiesel, Rüdiger, 2021. "Exogenous factors for order arrivals on the intraday electricity market," Energy Economics, Elsevier, vol. 97(C).
4. Yun Chen-Shue & Yukun Li & Jiongmin Yong, 2024. "A Limit Order Book Model for High Frequency Trading with Rough Volatility," Papers 2412.16850, arXiv.org.
5. Kanamura, Takashi & Bunn, Derek W., 2022. "Market making and electricity price formation in Japan," Energy Economics, Elsevier, vol. 107(C).
6. Timoth'ee Fabre & Ioane Muni Toke, 2025. "High-Frequency Market Manipulation Detection with a Markov-modulated Hawkes process," Papers 2502.04027, arXiv.org.
7. Bruno Gav{s}perov & Zvonko Kostanjv{c}ar, 2022. "Deep Reinforcement Learning for Market Making Under a Hawkes Process-Based Limit Order Book Model," Papers 2207.09951, arXiv.org.
8. Kyungsub Lee, 2025. "Self and Mutually Exciting Point Process Embedding Flexible Residuals and Intensity with Discretely Markovian Dynamics," Methodology and Computing in Applied Probability, Springer, vol. 27(2), pages 1-23, June.
9. Ioane Muni Toke & Nakahiro Yoshida, 2020. "Marked point processes and intensity ratios for limit order book modeling," Papers 2001.08442, arXiv.org.
10. Ioane Muni Toke & Nakahiro Yoshida, 2022. "Marked point processes and intensity ratios for limit order book modeling," Post-Print hal-02465428, HAL.
11. Yann Bilodeau, 2020. "Deep limit order book events dynamics," Working Papers 20-4, HEC Montreal, Canada Research Chair in Risk Management.
12. Hamza Bodor & Laurent Carlier, 2024. "A Novel Approach to Queue-Reactive Models: The Importance of Order Sizes," Papers 2405.18594, arXiv.org.
13. 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.
14. Ziyi Wang & Carmine Ventre & Maria Polukarov, 2025. "ARL-Based Multi-Action Market Making with Hawkes Processes and Variable Volatility," Papers 2508.16589, arXiv.org.
15. Zhang, Zhehao & Xing, Ruina, 2025. "Multivariate Hawkes process allowing for common shocks," Statistics & Probability Letters, Elsevier, vol. 216(C).
16. Luca Lalor & Anatoliy Swishchuk, 2025. "Event-Based Limit Order Book Simulation under a Neural Hawkes Process: Application in Market-Making," Papers 2502.17417, arXiv.org.
17. Hai-Chuan Xu & Wei-Xing Zhou, 2020. "Modeling aggressive market order placements with Hawkes factor models," PLOS ONE, Public Library of Science, vol. 15(1), pages 1-12, January.
    • Hai-Chuan Xu & Wei-Xing Zhou, 2018. "Modeling aggressive market order placements with Hawkes factor models," Papers 1811.08076, arXiv.org.
18. Ye, Wuyi & Yang, Jinting & Chen, Pengzhan, 2024. "Short-term stock price trend prediction with imaging high frequency limit order book data," International Journal of Forecasting, Elsevier, vol. 40(3), pages 1189-1205.
19. Timoth'ee Fabre & Ioane Muni Toke, 2024. "Neural Hawkes: Non-Parametric Estimation in High Dimension and Causality Analysis in Cryptocurrency Markets," Papers 2401.09361, arXiv.org, revised Nov 2024.
20. Shunya Chomei, 2023. "Empirical analysis in limit order book modeling for Nikkei 225 Stocks with Cox-type intensities," Papers 2302.01668, arXiv.org, revised Feb 2023.
21. Adele Ravagnani & Fabrizio Lillo, 2025. "Modeling metaorder impact with a Non-Markovian Zero Intelligence model," Papers 2503.05254, arXiv.org, revised Mar 2025.
22. Emmanouil Sfendourakis & Ioane Muni Toke, 2021. "LOB modeling using Hawkes processes with a state-dependent factor," Papers 2107.12872, arXiv.org, revised Dec 2021.
23. Jiwook Jang & Rosy Oh, 2020. "A Bivariate Compound Dynamic Contagion Process for Cyber Insurance," Papers 2007.04758, arXiv.org.
24. Raffaele Giuseppe Cestari & Filippo Barchi & Riccardo Busetto & Daniele Marazzina & Simone Formentin, 2023. "Hawkes-based cryptocurrency forecasting via Limit Order Book data," Papers 2312.16190, arXiv.org.
25. Jing Chen, 2025. "Editorial A Tribute to Professor Geoffrey Alan Hawkes (19 September 1938–9 November 2023)," Journal of Agricultural, Biological and Environmental Statistics, Springer;The International Biometric Society;American Statistical Association, vol. 30(1), pages 1-7, March.
26. Maxime Morariu-Patrichi & Mikko Pakkanen, 2018. "State-dependent Hawkes processes and their application to limit order book modelling," CREATES Research Papers 2018-26, Department of Economics and Business Economics, Aarhus University.
27. Yushi Lin & Peng Yang, 2025. "Detecting Multilevel Manipulation from Limit Order Book via Cascaded Contrastive Representation Learning," Papers 2508.17086, arXiv.org, revised Oct 2025.
28. Kyungsub Lee, 2024. "Self and mutually exciting point process embedding flexible residuals and intensity with discretely Markovian dynamics," Papers 2401.13890, arXiv.org, revised Mar 2025.