communication: The role of volume in order book dynamics: a multivariate Hawkes process analysis
speaker: Emmanuel Bacryspeaker: Fabrizio Lillo (Università di Bologna)
speaker: Marcello Rambaldi (Scuola Normale Superiore, Pisa)
abstract: We show that multivariate Hawkes processes coupled with the nonparametric estimation procedure first proposed in Bacry and Muzy (2014) can be successfully employed to study complex interactions such as those observed in a limit order book. We demonstrate how this approach is amenable not only to analyze interplay between different order types (market orders, limit orders, cancellations) but also to include other relevant quantities such as the order size into the analysis. We apply this methodology to high-frequency order book data form the EUREX exchange. We first explore the interplay between different trade sizes and we then extend our model to the whole first level of the order book. We are able to identify several interesting features of this market at very short time scales.
timetable:
Thu 28 Jan, 15:00 - 17:00, Sala Azzurra
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