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General compound hawkes processes in limit order books

Sviščuk, Anatolij; Huffman, Aiden - In: Risks : open access journal 8 (2020) 1/28, pp. 1-25

In this paper, we study various new Hawkes processes. Specifically, we construct general compound Hawkes processes and investigate their properties in limit order books. With regard to these general compound Hawkes processes, we prove a Law of Large Numbers (LLN) and a Functional Central Limit...

Persistent link: https://www.econbiz.de/10012203654