Analysis of order book flows using a non-parametric estimation of the branching ratio matrix

M. Achab, E. Bacry, J. F. Muzy and M. Rambaldi

Quantitative Finance, 2018, vol. 18, issue 2, 199-212

Abstract: We introduce a new non-parametric method that allows for a direct, fast and efficient estimation of the matrix of kernel norms of a multivariate Hawkes process, also called branching ratio matrix. We demonstrate the capabilities of this method by applying it to high-frequency order book data from the EUREX exchange. We show that it is able to uncover (or recover) various relationships between all the first-level order book events associated with some asset when mapped to a 12-dimensional process. We then scale up the model so as to account for events on two assets simultaneously and we discuss the joint high-frequency dynamics.

Date: 2018
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Citations: View citations in EconPapers (10)

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DOI: 10.1080/14697688.2017.1403132

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