Jul 20, 2021 � Abstract:This article presents a Hawkes process model with Markovian baseline intensities for high-frequency order book data modeling.

Abstract. This article presents a Hawkes process model with Markovian baseline intensities for high-frequency order book data modeling.

Jul 20, 2021 � This article presents a Hawkes process model with Markovian baseline intensities for high-frequency order book data modeling, and studies�...

Downloadable! This article presents a Hawkes process model with Markovian baseline intensities for high-frequency order book data modeling.

Sep 10, 2024 � This article presents a Hawkes process model with Markovian baseline intensities for high-frequency order book data modeling.

In this note, we cast a Hawkes process-based order book model into a Markovian setting, and using techniques from the theory of Markov chains and stochastic�...

Nov 24, 2021 � Abstract. In this work we introduce two variants of multivariate Hawkes models with an explicit dependency on various queue sizes aimed at�...

In this dissertation, we investigate the use of Hawkes processes to model limit order book dynamics. We give empirical evidence for the applicability of�...

A Markovian (2K+2)-dimensional Hawkes process now models the intensities of the arrivals of market and limit orders. The full limit order book can be.

Order Book Queue Hawkes-Markovian Modeling ... To capture the stimulating effects between multiple types of order book events, we use the multivariate Hawkes�...