2 citations · 2 across the 1 of their papers we have counts for
2 papers
q-fin.MF2017★ 2 cited
Compound Hawkes Processes in Limit Order Books
Anatoliy Swishchuk, Bruno Remillard, Robert Elliott +1
In this paper we introduce two new Hawkes processes, namely, compound and regime-switching compound Hawkes processes, to model the price processes in limit order books. We prove La…
q-fin.TR2017
A level-1 Limit Order book with time dependent arrival rates
Jonathan A. Chávez-Casillas, Robert J. Elliott, Bruno Rémillard +1
We propose a simple stochastic model for the dynamics of a limit order book, extending the recent work of Cont and de Larrard (2013), where the price dynamics are endogenous, resul…