英文标题：
《The role of volume in order book dynamics: a multivariate Hawkes process
analysis》
---
作者：
Marcello Rambaldi, Emmanuel Bacry, Fabrizio Lillo
---
最新提交年份：
2016
---
英文摘要：
We show that multivariate Hawkes processes coupled with the nonparametric estimation procedure first proposed in Bacry and Muzy (2015) can be successfully used to study complex interactions between the time of arrival of orders and their size, observed in a limit order book market. We apply this methodology to high-frequency order book data of futures traded at EUREX. Specifically, we demonstrate how this approach is amenable not only to analyze interplay between different order types (market orders, limit orders, cancellations) but also to include other relevant quantities, such as the order size, into the analysis, showing also that simple models assuming the independence between volume and time are not suitable to describe the data.
---
中文摘要：
我们表明，多元Hawkes过程与Bacry和Muzy（2015）首次提出的非参数估计方法相结合，可以成功地用于研究订单到达时间与其规模之间的复杂相互作用，这是在限额订单簿市场中观察到的。我们将此方法应用于在欧洲期货交易所交易的期货的高频订单数据。具体而言，我们证明了这种方法不仅适用于分析不同订单类型（市场订单、限价订单、取消）之间的相互作用，而且还适用于将其他相关数量（如订单规模）纳入分析，还表明假设数量和时间独立的简单模型不适合描述数据。
---
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
--
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
--

---
PDF下载：
-->