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Modelling Limit Order Book Dynamics ...
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Chen, Yuanda.
Modelling Limit Order Book Dynamics Using Hawkes Processes.
紀錄類型:
書目-語言資料,手稿 : Monograph/item
正題名/作者:
Modelling Limit Order Book Dynamics Using Hawkes Processes./
作者:
Chen, Yuanda.
面頁冊數:
1 online resource (259 pages)
附註:
Source: Dissertation Abstracts International, Volume: 78-11(E), Section: B.
Contained By:
Dissertation Abstracts International78-11B(E).
標題:
Mathematics. -
電子資源:
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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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
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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.
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click for full text (PQDT)
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