论文标题
多变量一般复合点过程中的限制顺序书籍
Multivariate General Compound Point Processes in Limit Order Books
论文作者
论文摘要
在本文中，我们着重于多元一般复合鹰队过程（MGCHP）的新概括，我们称其为多变量一般复合点过程（MGCPP）。也就是说，我们应用了一个多元点过程来建模顺序流，而不是霍克斯过程。在这项工作中证明了大型法律（LLN）和MGCPP的两个功能性中心限制定理（FCLT）。还考虑了MGCPP在极限顺序市场中的应用。我们通过应用Google，Apple，Microsoft，Amazon和Intel交易数据提供了MGCPP和MGCHP的数值模拟和比较。
In this paper, we focus on a new generalization of multivariate general compound Hawkes process (MGCHP), which we referred to as the multivariate general compound point process (MGCPP). Namely, we applied a multivariate point process to model the order flow instead of the Hawkes process. Law of large numbers (LLN) and two functional central limit theorems (FCLTs) for the MGCPP were proved in this work. Applications of the MGCPP in the limit order market were also considered. We provided numerical simulations and comparisons for the MGCPP and MGCHP by applying Google, Apple, Microsoft, Amazon, and Intel trading data.
