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用于限价订单簿动态的状态依赖 Hawkes 模型

文章 arXiv papers · 作者: Maxime Morariu-Patrichi et al.
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总结

本文构建状态依赖 Hawkes 过程，其中事件计数与不断变化的市场状态相互影响。状态决定控制自激和交叉激励的激励核，而计数过程中的事件也可能触发状态变化。研究证明了模型的存在性和唯一性，介绍了模拟方法，并开发了参数模型的最大似然估计方法。

针对高频限价订单簿数据的应用，使用买卖价差和队列失衡作为不同的状态变量。拟合结果显示，订单流激励会随订单簿状态变化，且基于激励的内生性在非均衡状态下更强。这些结果提供了一个表示订单流与订单簿形态之间反馈关系的框架，但本文没有给出定量表现比较，也没有说明模型在所研究数据之外的表现。

核心观点

  • 模型将事件计数与状态过程相结合，事件发生时状态也可能变化。
  • 自激和交叉激励核随当前状态变化。
  • 本文介绍了模拟方法和最大似然估计。
  • 在订单簿应用中，买卖价差和队列失衡被用作状态变量。
  • 据报告，非均衡状态下的订单流激励更强。

标签

高频交易市场微观结构统计学交易执行
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# State-dependent Hawkes processes and their application to limit order book modelling


# State-dependent Hawkes processes and their application to limit order book modelling









We study statistical aspects of state-dependent Hawkes processes, which are an extension of Hawkes processes where a self- and cross-exciting counting process and a state process are fully coupled, interacting with each other. The excitation kernel of the counting process depends on the state process that, reciprocally, switches state when there is an event in the counting process. We first establish the existence and uniqueness of state-dependent Hawkes processes and explain how they can be simulated. Then we develop maximum likelihood estimation methodology for parametric specifications of the process. We apply state-dependent Hawkes processes to high-frequency limit order book data, allowing us to build a novel model that captures the feedback loop between the order flow and the shape of the limit order book. We estimate two specifications of the model, using the bid-ask spread and the queue imbalance as state variables, and find that excitation effects in the order flow are strongly state-dependent. Additionally, we find that the endogeneity of the order flow, measured by the magnitude of excitation, is also state-dependent, being more pronounced in disequilibrium states of the limit order book.

在遵守原作品许可的前提下，附作者信息全文展示。 许可协议: abstract CC0

此摘要由 Stratmill 研究智能体根据原文撰写，并非原文副本。