2021/07/27 by Emmanouil Sfendourakis, Sfendourakis, Emmanouil, Ioane Muni Toke +1 · 1 citation
Biochemistry, Genetics and Molecular Biology · Economics, Econometrics and Finance · Environmental Science · Mathematics · #Diffusion and Search Dynamics #Ecosystem dynamics and resilience #FOS: Economics and business #Point processes and geometric inequalities #Statistical Finance (q-fin.ST) #Stochastic processes and financial applications #Trading and Market Microstructure (q-fin.TR)
paper · pdf · doi:10.48550/arxiv.2107.12872
openalex publication_date 2021/07/27 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
A point process model for order flows in limit order books is proposed, in which the conditional intensity is the product of a Hawkes component and a state-dependent factor. In the LOB context, state observations may include the observed imbalance or the observed spread. Full technical details for the computationally-efficient estimation of such a process are provided, using either direct likelihood maximization or EM-type estimation. Applications include models for bid and ask market orders, or for upwards and downwards price movements. Empirical results on multiple stocks traded in Euronext Paris underline the benefits of state-dependent formulations for LOB modeling, e.g. in terms of goodness-of-fit to financial data.