限价订单簿中的多元一般复合点过程
Multivariate General Compound Point Processes in Limit Order Books
摘要：
本文研究了多元一般复合Hawkes过程的一个新推广，称之为多元一般复合点过程。也就是说，我们应用一个多元点过程来模拟订单流，而不是霍克斯过程。证明了MGCPP的大数定律和两个泛函中心极限定理。此外，还考虑了MGCPP在限价订单市场中的应用。我们通过应用谷歌、苹果、微软、亚马逊和英特尔的交易数据，为MGCPP和MGCHP提供了数值模拟和比较。
英文摘要：
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.
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