英文标题：
《A Scaling Limit for Limit Order Books Driven by Hawkes Processes》
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作者：
Ulrich Horst and Wei Xu
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最新提交年份：
2018
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英文摘要：
In this paper we derive a scaling limit for an infinite dimensional limit order book model driven by Hawkes random measures. The dynamics of the incoming order flow is allowed to depend on the current market price as well as on a volume indicator. With our choice of scaling the dynamics converges to a coupled SDE-ODE system where limiting best bid and ask price processes follows a diffusion dynamics, the limiting volume density functions follows an ODE in a Hilbert space and the limiting order arrival and cancellation intensities follow a Volterra-Fredholm integral equation.
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中文摘要：
本文推导了由Hawkes随机测度驱动的无限维极限订货本模型的标度极限。允许传入订单流的动态取决于当前市场价格以及数量指标。通过选择缩放，动力学收敛到一个耦合的SDE-ODE系统，其中限制最佳出价和要价过程遵循扩散动力学，限制体积密度函数遵循Hilbert空间中的ODE，限制订单到达和取消强度遵循Volterra-Fredholm积分方程。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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