Title: Multivariate Hawkes processes: A microscope for high-frequency order book dynamics
Authors: Marcello Rambaldi - CMAP - Ecole Polytechnique, Palaiseau, France (France) [presenting]
Emmanuel Bacry - CNRS, Université Paris Dauphine (France)
Fabrizio Lillo - Scuola Normale Superiore (Italy)
Abstract: The aim is to show that multivariate Hawkes processes coupled with the recent non-parametric estimation procedure previously proposed can be successfully used to study complex interactions between the time of arrival of orders and their size, observed in a limit order book market. We apply this methodology to high-frequency order book data of futures traded at EUREX. Specifically, we demonstrate how this approach is amenable not only to analyse 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, showing also that simple models assuming the independence between volume and time are not suitable to describe the data.