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Modelling Limit Order Book Dynamics ...

Chen, Yuanda.

Modelling Limit Order Book Dynamics Using Hawkes Processes.

Record Type:	Language materials, manuscript : Monograph/item
Title/Author:	Modelling Limit Order Book Dynamics Using Hawkes Processes./
Author:	Chen, Yuanda.
Description:	1 online resource (259 pages)
Notes:	Source: Dissertation Abstracts International, Volume: 78-11(E), Section: B.
Contained By:	Dissertation Abstracts International78-11B(E).
Subject:	Mathematics. -
Online resource:	click for full text (PQDT)
ISBN:	9781369862584

Modelling Limit Order Book Dynamics Using Hawkes Processes.
Chen, Yuanda.

Modelling Limit Order Book Dynamics Using Hawkes Processes. - 1 online resource (259 pages)

Source: Dissertation Abstracts International, Volume: 78-11(E), Section: B.

Thesis (Ph.D.)

Includes bibliographical references

The Hawkes process serves as a natural choice for modeling self-exciting dynamics, such as the behavior of an electronic exchange-hosted limit order book (LOB). However, due to the lack of analytical solutions, probability estimates of future events often must rely on Monte Carlo simulation. Although Monte Carlo simulation is known to be good at solving path-dependent problems, it has the limitation that a high computation time is often required to get good accuracy. This is a concern in fields like algorithmic trading where fast calculation is essential.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2018

Mode of access: World Wide Web

ISBN: 9781369862584Subjects--Topical Terms:

527692
Mathematics.
Index Terms--Genre/Form:

554714
Electronic books.

Modelling Limit Order Book Dynamics Using Hawkes Processes.
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040 $a MiAaPQ $b eng $c MiAaPQ
099 $a TUL $f hyy $c available through World Wide Web
100 1 $a Chen, Yuanda. $3 1180540
245 1 0 $a Modelling Limit Order Book Dynamics Using Hawkes Processes.
264 0 $c 2017
300 $a 1 online resource (259 pages)
336 $a text $b txt $2 rdacontent
337 $a computer $b c $2 rdamedia
338 $a online resource $b cr $2 rdacarrier
500 $a Source: Dissertation Abstracts International, Volume: 78-11(E), Section: B.
500 $a Adviser: Alec N. Kercheval.
502 $a Thesis (Ph.D.) $c The Florida State University $d 2017.
504 $a Includes bibliographical references
520 $a The Hawkes process serves as a natural choice for modeling self-exciting dynamics, such as the behavior of an electronic exchange-hosted limit order book (LOB). However, due to the lack of analytical solutions, probability estimates of future events often must rely on Monte Carlo simulation. Although Monte Carlo simulation is known to be good at solving path-dependent problems, it has the limitation that a high computation time is often required to get good accuracy. This is a concern in fields like algorithmic trading where fast calculation is essential.
520 $a In this dissertation we propose the use of a 4-dimensional Hawkes process to model the LOB and to forecast mid-price movement probabilities using Monte Carlo simulation. We study the feasibility of making this prediction quickly enough to be applicable in practice. We show that fast predictions are feasible, and show in tests on real data that the model has some trading value in forecasting mid-price movements. This dissertation also compares the performance of several popular computer languages, Python, MATLAB, Cython and C, in single-core experiments, and examines the scalability for parallel computing using Cython and C.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2018
538 $a Mode of access: World Wide Web
650 4 $a Mathematics. $3 527692
650 4 $a Applied mathematics. $3 1069907
650 4 $a Finance. $3 559073
655 7 $a Electronic books. $2 local $3 554714
690 $a 0405
690 $a 0364
690 $a 0508
710 2 $a ProQuest Information and Learning Co. $3 1178819
710 2 $a The Florida State University. $b Mathematics. $3 1180541
773 0 $t Dissertation Abstracts International $g 78-11B(E).
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10188567 $z click for full text (PQDT)

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