{"id":825,"date":"2015-09-01T10:19:03","date_gmt":"2015-09-01T09:19:03","guid":{"rendered":"http:\/\/mathfinance.sns.it\/?p=825"},"modified":"2015-09-01T10:19:03","modified_gmt":"2015-09-01T09:19:03","slug":"frederic-abergel-limit-order-books-driven-by-hawkes-processes","status":"publish","type":"post","link":"http:\/\/mathfinance.sns.it\/index.php\/frederic-abergel-limit-order-books-driven-by-hawkes-processes\/","title":{"rendered":"Frederic Abergel, \u201cLimit order books driven by Hawkes processes\u201d"},"content":{"rendered":"<p style=\"text-align: center;\">Tuesday\u00a0September\u00a08\u00a02015<br \/>\n11:30<br \/>\nScuola Normale Superiore<br \/>\nAula Bianchi<\/p>\n<p style=\"text-align: center;\"><strong>Frederic Abergel<\/strong><br \/>\nCMAP, Ecole Centrale-Supelec, Paris<\/p>\n<p style=\"text-align: center;\"><strong>Abstract<br \/>\n<\/strong>Hawkes processes offer an interesting toolbox to model the interplay between different agents on\u00a0financial markets. This talk will present some recent results on Hawkes process-driven limit order books,\u00a0focusing on questions of ergodicity and asymptotic behaviour. Some numerical simulations will also be\u00a0commented.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tuesday\u00a0September\u00a08\u00a02015 11:30 Scuola Normale Superiore Aula Bianchi Frederic Abergel CMAP, Ecole Centrale-Supelec, Paris Abstract Hawkes processes offer an interesting toolbox to model the interplay between different agents on\u00a0financial markets. This talk will present some recent results on Hawkes process-driven limit order books,\u00a0focusing on questions of ergodicity and asymptotic behaviour. Some numerical simulations will also be\u00a0commented.<\/p>\n","protected":false},"author":7,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":[],"categories":[13],"tags":[],"_links":{"self":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/825"}],"collection":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/users\/7"}],"replies":[{"embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/comments?post=825"}],"version-history":[{"count":1,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/825\/revisions"}],"predecessor-version":[{"id":826,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/825\/revisions\/826"}],"wp:attachment":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/media?parent=825"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/categories?post=825"},{"taxonomy":"post_tag","embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/tags?post=825"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}