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

Aymen Jedidi () and Frédéric Abergel ()
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Aymen Jedidi: FiQuant - Chaire de finance quantitative - MICS - Mathématiques et Informatique pour la Complexité et les Systèmes - CentraleSupélec, MAS - Mathématiques Appliquées aux Systèmes - EA 4037 - Ecole Centrale Paris
Frédéric Abergel: FiQuant - Chaire de finance quantitative - MICS - Mathématiques et Informatique pour la Complexité et les Systèmes - CentraleSupélec, MAS - Mathématiques Appliquées aux Systèmes - EA 4037 - Ecole Centrale Paris

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Abstract: 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.

Keywords: Order book; Hawkes process; diffusive limit (search for similar items in EconPapers)
Date: 2013
New Economics Papers: this item is included in nep-mst
Note: View the original document on HAL open archive server: https://hal.science/hal-00821607
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Citations: View citations in EconPapers (8)

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