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A Single Queue Reactive Hawkes Model for the Order Flow

Peng Wu et al.

Market Microstructure and Liquidity2020https://doi.org/10.1142/s2382626620500136article
ABDC B
Weight
0.34

What the paper says

In this work, we introduce a multivariate Hawkes model with an explicit dependency on queue size aimed at modeling the stochastic time evolution of a single queue (best bid queue or best ask queue) of a limit order book. The order flow at a given best queue is modeled using a multivariate Hawkes process whose exogenous intensity depends on the current state on the queue. We provide an explicit way to calibrate this model with a Maximum-Likelihood method. Empirical results show that our model improves the description of the order flow properties and the shape of the queue distributions.

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https://doi.org/https://doi.org/10.1142/s2382626620500136

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@article{peng2020,
  title        = {{A Single Queue Reactive Hawkes Model for the Order Flow}},
  author       = {Peng Wu et al.},
  journal      = {Market Microstructure and Liquidity},
  year         = {2020},
  doi          = {https://doi.org/https://doi.org/10.1142/s2382626620500136},
}

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A Single Queue Reactive Hawkes Model for the Order Flow

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Evidence weight

0.34

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.00 × 0.4 = 0.00
M · momentum0.80 × 0.15 = 0.12
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.