A single queue-reactive Hawkes model for the order flow - Archive ouverte HAL
Article Dans Une Revue Market microstructure and liquidity Année : 2023

A single queue-reactive Hawkes model for the order flow

Résumé

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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Dates et versions

hal-02409073 , version 1 (24-11-2021)

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Peng Wu, Marcello Rambaldi, Jean-François Muzy, Emmanuel Bacry. A single queue-reactive Hawkes model for the order flow. Market microstructure and liquidity, 2023, ⟨10.1142/S2382626620500136⟩. ⟨hal-02409073⟩
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