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LOB Modeling Using Hawkes Processes with a State-Dependent Factor

Emmanouil Sfendourakis & Ioane Muni Toke

Market Microstructure and Liquidity2020https://doi.org/10.1142/s2382626620500148article
ABDC B
Weight
0.34

What the paper says

A point process model for order flows in limit order books is proposed, in which the conditional intensity is the product of a Hawkes component and a state-dependent factor. In the LOB context, state observations may include the observed imbalance or the observed spread. Full technical details for the computationally-efficient estimation of such a process are provided, using either direct likelihood maximization or EM-type estimation. Applications include models for bid and ask market orders, or for upwards and downwards price movements. Empirical results on multiple stocks traded in Euronext Paris underline the benefits of state-dependent formulations for LOB modeling, e.g., in terms of goodness-of-fit to financial data.

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https://doi.org/https://doi.org/10.1142/s2382626620500148

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@article{emmanouil2020,
  title        = {{LOB Modeling Using Hawkes Processes with a State-Dependent Factor}},
  author       = {Emmanouil Sfendourakis & Ioane Muni Toke},
  journal      = {Market Microstructure and Liquidity},
  year         = {2020},
  doi          = {https://doi.org/https://doi.org/10.1142/s2382626620500148},
}

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LOB Modeling Using Hawkes Processes with a State-Dependent Factor

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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

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