General compound Hawkes process in limit order books

Anatoliy Swishchuk – University of Calgary, Canada

We’ll describe different type of Hawkes Processes and their applications in the limit order books. Their include one-dimensional, multi-dimensional and non-linear Hawkes Processes, to name a few. We’ll also introduce so-called general compound Hawkes process that is the most fit to the all the limit order books models. To study them, we’ll present some LLNs and FCLTs. We’ll also give a justification of our modelling and present some numerical examples using the real data. (The presentation is based on our joint work and collaboration with Bruno Remillard and Robert Elliott).

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