Long-Time Behavior of a Hawkes Process--Based Limit Order Book
Long-Time Behavior of a Hawkes Process--Based Limit Order Book
Hawkes processes provide a natural framework for modelling dependencies between the intensities of point processes. In the context of order-driven financial markets, the relevance of such dependencies has been amply demonstrated from an empirical, as well as theoretical, standpoint. In this work, we build on previous empirical and numerical studies …