Mathematical properties of limit order books modelled by Hawkes processes

Frederic Abergel
École Centrale de Paris

In this talk, I will present some recent results on limit order books driven by Hawkes processes. Ergodicity and long-time price behaviour will be studied, and some numerical results will be presented.

Presentation (PDF File)

Back to Workshop II: The Mathematics of High Frequency Financial Markets: Limit Order Books, Frictions, Optimal Execution and Program Trading