A Scaling Limit for Limit Order Books Driven by Hawkes Processes

Abstract

In this paper we derive a scaling limit for an infinite dimensional limit order book model driven by Hawkes random measures. The dynamics of the incoming order flow is allowed to depend on the current market price as well as... [ view full abstract ]

Authors

  1. Wei Xu (Humboldt-Universit├Ąt zu Berlin)
  2. Ulrich Horst (Humboldt-Universit├Ąt zu Berlin)

Topic Area

Limit-Order Books

Session

WE-P-SW » Limit-order Book (14:30 - Wednesday, 18th July, Swift)

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