Estimation of an Order Book Dependent Hawkes Process for Large Datasets.

A point process for event arrivals in high-frequency trading is presented. The intensity is the product of a Hawkes process and high-dimensional functions of covariates derived from the order book. Conditions for stationarity of the process are stated. An algorithm is presented to estimate the model...

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Publicado en:	Journal of Financial Econometrics Vol. 22; no. 4; pp. 1098 - 1130
Autores principales:	Mucciante, Luca, Sancetta, Alessio
Formato:	Artículo
Publicado:	Oxford University Press / USA Fall2024
Materias:	Forecasting Sampling (Process) Point processes Sample size (Statistics) Stocks (Finance)
Acceso en línea:	Ver este registro en EBSCOhost