Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/257948 
Year of Publication: 
2019
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 7 [Issue:] 4 [Article No.:] 110 [Publisher:] MDPI [Place:] Basel [Year:] 2019 [Pages:] 1-21
Publisher: 
MDPI, Basel
Abstract: 
In this paper, we solve the problem of mid price movements arising in high-frequency and algorithmic trading using real data. Namely, we introduce different new types of General Compound Hawkes Processes (GCHPDO, GCHP2SDO, GCHPnSDO) and find their diffusive limits to model the mid price movements of 6 stocks-EBAY, FB, MU, PCAR, SMH, CSCO. We also define error rates to estimate the models fitting accuracy. Maximum Likelihood Estimation (MLE) and Particle Swarm Optimization (PSO) are used for Hawkes processes and models parameters' calibration.
Subjects: 
diffusive limit
error measurements
general compound Hawkes process
maximum likelihood estimation (MLE)
particle swarm optimization (PSO)
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
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