General Compound Hawkes Processes in Limit Order Books

In this paper, we study various new Hawkes processes. Specifically, we construct general compound Hawkes processes and investigate their properties in limit order books. With regards to these general compound Hawkes processes, we prove a Law of Large Numbers (LLN) and a Functional Central Limit Theo...

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Hauptverfasser:	Swishchuk, Anatoliy, Huffman, Aiden
Format:	Artikel
Sprache:	eng
Schlagworte:	Quantitative Finance - Mathematical Finance Quantitative Finance - Trading and Microstructure
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