英文标题：
《The statistical significance of multivariate Hawkes processes fitted to
limit order book data》
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作者：
Roger Martins, Dieter Hendricks
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最新提交年份：
2016
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英文摘要：
Hawkes processes have seen a number of applications in finance, due to their ability to capture event clustering behaviour typically observed in financial systems. Given a calibrated Hawkes process, of concern is the statistical fit to empirical data, particularly for the accurate quantification of self- and mutual-excitation effects. We investigate the application of a multivariate Hawkes process with a sum-of-exponentials kernel and piecewise-linear exogeneity factors, fitted to liquidity demand and replenishment events extracted from limit order book data. We consider one-, two- and three-exponential kernels, applying various tests to ascertain goodness-of-fit and stationarity of residuals, as well as stability of the calibration procedure. In line with prior research, it is found that performance across all tests improves as the number of exponentials is increased, with a sum-of-three-exponentials yielding the best fit to the given set of coupled point processes.
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中文摘要：
由于霍克斯过程能够捕捉金融系统中通常观察到的事件聚集行为，因此它在金融领域有很多应用。考虑到校准的霍克斯过程，值得关注的是与经验数据的统计拟合，尤其是对于自激和互激效应的精确量化。我们研究了具有指数核和分段线性外生因子的多元Hawkes过程的应用，该过程适用于从限额订单数据中提取的流动性需求和补货事件。我们考虑一个、两个和三个指数核，应用各种测试来确定拟合优度和残差的平稳性，以及校准程序的稳定性。与之前的研究一致，我们发现，随着指数数量的增加，所有测试的性能都会提高，三个指数之和会产生对给定耦合点过程集的最佳拟合。
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分类信息：

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
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