Stability and Price Scaling Limit of a Hawkes Process-based Order Book Model
نویسنده
چکیده
3 2.3. The embedded discrete-time Hawkes process 5 2.4. Drift of a discrete-time Markov process 6 2.5. A digression on stochastic stability 7 3. Auxiliary Results 8 3.1. V−uniform ergodicity of the intensity of a Hawkes process 8 3.2. V−uniform ergodicity of the intensity of a multivariate Hawkes process 10 3.3. V-uniform ergodicity of a " birth-death " Hawkes process 13 4. Application to order book modelling 15 4.1. Model setup 15 4.2. Stability of the order book 17 4.3. Large scale limit of the price process 18 Appendix A. Technical Lemmas 20 References 21
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