Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/257983 
Year of Publication: 
2020
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 8 [Issue:] 1 [Article No.:] 28 [Publisher:] MDPI [Place:] Basel [Year:] 2020 [Pages:] 1-25
Publisher: 
MDPI, Basel
Abstract: 
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 Theorems (FCLT) for several specific variations. We apply several of these FCLTs to limit order books to study the link between price volatility and order flow, where the volatility in mid-price changes is expressed in terms of parameters describing the arrival rates and mid-price process.
Subjects: 
functional central limit theorems
general compound Hawkes processes
Hawkes processes
limit order books
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Creative Commons License: 
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Document Type: 
Article
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