Show simple item record

hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorWu, Peng*
hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorRambaldi, Marcello*
hal.structure.identifierSciences pour l'environnement [SPE]
dc.contributor.authorMuzy, Jean-François
HAL ID: 8572
*
hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorBacry, Emmanuel
HAL ID: 735850
ORCID: 0000-0001-5997-1942
*
dc.date.accessioned2020-05-04T14:07:43Z
dc.date.available2020-05-04T14:07:43Z
dc.date.issued2019
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/20690
dc.language.isoenen
dc.subjectLimit order book
dc.subjectmarket micro structure
dc.subjectHawkes process
dc.subjecthigh frequency data
dc.subjectjump Markov process
dc.subjectergodic properties
dc.subjectmarket simulator
dc.subject.ddc519en
dc.titleQueue-reactive Hawkes models for the order flow
dc.typeDocument de travail / Working paper
dc.description.abstractenIn this work we introduce two variants of multivariate Hawkes models with an explicit dependency on various queue sizes aimed at modeling the stochastic time evolution of a limit order book. The models we propose thus integrate the influence of both the current book state and the past order flow. The first variant considers the flow of order arrivals at a specific price level as independent from the other one and describes this flow by adding a Hawkes component to the arrival rates provided by the continuous time Markov "Queue Reactive" model of Huang et al. Empirical calibration using Level-I order book data from Eurex future assets (Bund and DAX) show that the Hawkes term dramatically improves the pure "Queue-Reactive" model not only for the description of the order flow properties (as e.g. the statistics of inter-event times) but also with respect to the shape of the queue distributions. The second variant we introduce describes the joint dynamics of all events occurring at best bid and ask sides of some order book during a trading day. This model can be considered as a queue dependent extension of the multivariate Hawkes order-book model of Bacry et al. We provide an explicit way to calibrate this model either with a Maximum-Likelihood method or with a Least-Square approach. Empirical estimation from Bund and DAX level-I order book data allow us to recover the main features of Hawkes interactions uncovered in Bacry et al. but also to unveil their joint dependence on bid and ask queue sizes. We notably find that while the market order or mid-price changes rates can mainly be functions on the volume imbalance this is not the case for the arrival rate of limit or cancel orders. Our findings also allows us to clearly bring to light various features that distinguish small and large tick assets.
dc.publisher.cityParisen
dc.identifier.citationpages27
dc.relation.ispartofseriestitleCahier de recherche CEREMADE, Université Paris Dauphine-PSL
dc.identifier.urlsitehttps://arxiv.org/abs/1901.08938
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.description.ssrncandidatenon
dc.description.halcandidatenon
dc.description.readershiprecherche
dc.description.audienceInternational
dc.date.updated2020-10-26T11:30:30Z
hal.author.functionaut
hal.author.functionaut
hal.author.functionaut
hal.author.functionaut


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record