英文标题：
《Analysis of order book flows using a nonparametric estimation of the
branching ratio matrix》
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作者：
Massil Achab, Emmanuel Bacry, Jean-Fran\\c{c}ois Muzy, Marcello
Rambaldi
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最新提交年份：
2017
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英文摘要：
We introduce a new non parametric method that allows for a direct, fast and efficient estimation of the matrix of kernel norms of a multivariate Hawkes process, also called branching ratio matrix. We demonstrate the capabilities of this method by applying it to high-frequency order book data from the EUREX exchange. We show that it is able to uncover (or recover) various relationships between all the first level order book events associated with some asset when mapped to a 12-dimensional process. We then scale up the model so as to account for events on two assets simultaneously and we discuss the joint high-frequency dynamics.
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中文摘要：
我们引入了一种新的非参数方法，该方法允许直接、快速和有效地估计多元Hawkes过程的核范数矩阵，也称为分支比矩阵。我们通过将此方法应用于欧洲期货交易所的高频订单数据来证明此方法的能力。我们表明，当映射到12维流程时，它能够发现（或恢复）与某些资产相关的所有一级订单簿事件之间的各种关系。然后，我们放大模型，以便同时考虑两个资产上的事件，并讨论联合高频动力学。
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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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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
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