Forecasting duration in high-frequency financial data using a self-exciting flexible residual point process

Kyungsub Lee

Papers from arXiv.org

Abstract: This paper presents a method for forecasting limit order book durations using a self-exciting flexible residual point process. High-frequency events in modern exchanges exhibit heavy-tailed interarrival times, posing a significant challenge for accurate prediction. The proposed approach incorporates the empirical distributional features of interarrival times while preserving the self-exciting and decay structure. This work also examines the stochastic stability of the process, which can be interpreted as a general state-space Markov chain. Under suitable conditions, the process is irreducible, aperiodic, positive Harris recurrent, and has a stationary distribution. An empirical study demonstrates that the model achieves strong predictive performance compared with several alternative approaches when forecasting durations in ultra-high-frequency trading data.

Date: 2026-03
New Economics Papers: this item is included in nep-for and nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2604.00346 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2604.00346

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().