Modelling order arrivals at price limits using Hawkes processes

Finance Research Letters(2016)

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摘要
•We proposed a model using Hawkes processes for order flow dynamics at price limits.•Three events incorporated: same and opposite direction orders and cancellations.•The goodness of fit tests show that the model appropriately fits empirical data.•The decay kernels represent dominant self-exciting behaviour of order arrivals.
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关键词
Price limits,Hawkes processes,Order flow,High frequency modelling
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