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Pré-Publication, Document De Travail Année : 2013

Stability and price scaling limit of a Hawkes-process based order book model

Résumé

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 stability, show that the order book is stable and leads to a diffusive price limit at large time scales.
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Dates et versions

hal-00821607 , version 1 (11-05-2013)

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  • HAL Id : hal-00821607 , version 1

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Aymen Jedidi, Frédéric Abergel. Stability and price scaling limit of a Hawkes-process based order book model. 2013. ⟨hal-00821607⟩
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