The role of volume in order book dynamics: a multivariate Hawkes process analysis
研究显示，结合非参数估计的多元霍克斯过程能有效分析限价订单簿中订单到达时间与规模间的复杂交互，发现忽略成交量与时间独立性的简单模型不适用于描述数据。
We show that multivariate Hawkes processes coupled with the nonparametric estimation procedure first proposed in Bacry and Muzy [IEEE Trans. Inform. Theory, 2016, 62, 2184–2202] 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.