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

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.

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Year of publication:	2013
Authors:	Jedidi, Aymen ; Abergel, Frédéric
Institutions:	HAL
Subject:	Order book \| Hawkes process \| diffusive limit

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00821607
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010821274