The role of volume in order book dynamics: a multivariate Hawkes process analysis
The role of volume in order book dynamics: a multivariate Hawkes process analysis
We show that multivariate Hawkes processes coupled with the nonparametric estimation procedure first proposed in Bacry and Muzy (2015) can be successfully used to study complex interactions between the time of arrival of orders and their size, observed in a limit order book market.We apply this methodology to high-frequency order …