英文标题：
《Estimation of slowly decreasing Hawkes kernels: Application to high
frequency order book modelling》
---
作者：
Emmanuel Bacry and Thibault Jaisson and Jean-Francois Muzy
---
最新提交年份：
2014
---
英文摘要：
We present a modified version of the non parametric Hawkes kernel estimation procedure studied in arXiv:1401.0903 that is adapted to slowly decreasing kernels. We show on numerical simulations involving a reasonable number of events that this method allows us to estimate faithfully a power-law decreasing kernel over at least 6 decades. We then propose a 8-dimensional Hawkes model for all events associated with the first level of some asset order book. Applying our estimation procedure to this model, allows us to uncover the main properties of the coupled dynamics of trade, limit and cancel orders in relationship with the mid-price variations.
---
中文摘要：
我们提出了arXiv:1401.0903中研究的非参数Hawkes核估计程序的改进版本，该程序适用于缓慢递减的核。我们在涉及合理数量事件的数值模拟中表明，这种方法允许我们在至少60年的时间里忠实地估计幂律递减核。然后，我们提出了一个8维霍克斯模型，用于与某个资产订单簿的第一级相关的所有事件。将我们的估计过程应用于该模型，可以揭示与中间价格变化相关的贸易、限制和取消订单耦合动力学的主要特性。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
--
一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
--
一级分类：Statistics 统计学
二级分类：Methodology 方法论
分类描述：Design, Surveys, Model Selection, Multiple Testing, Multivariate Methods, Signal and Image Processing, Time Series, Smoothing, Spatial Statistics, Survival Analysis, Nonparametric and Semiparametric Methods
设计，调查，模型选择，多重检验，多元方法，信号和图像处理，时间序列，平滑，空间统计，生存分析，非参数和半参数方法
--

---
PDF下载：
-->