Frederic Abergel, “Limit order books driven by Hawkes processes”

Tuesday September 8 2015
Scuola Normale Superiore
Aula Bianchi

Frederic Abergel
CMAP, Ecole Centrale-Supelec, Paris

Hawkes processes offer an interesting toolbox to model the interplay between different agents on financial markets. This talk will present some recent results on Hawkes process-driven limit order books, focusing on questions of ergodicity and asymptotic behaviour. Some numerical simulations will also be commented.