Date of Award
5-2024
Degree Type
Thesis
Degree Name
M.S.
Degree Program
Mathematics
Department
Mathematics
Major Professor
Seyyed Navid Salehy
Abstract
This thesis presents a time-changed geometric Brownian price model with the univariate Hawkes processes to trace the price changes in a limit order book. Limit order books are the core mechanism for trading in modern financial markets, continuously collecting outstanding buy and sell orders from market participants. The arrival of orders causes fluctuations in prices over time. A Hawkes process is a type of point process that exhibits self-exciting behavior, where the occurrence of one event increases the probability of other events happening in the near future. This makes Hawkes processes well-suited for capturing the clustered arrival patterns of orders that drive price movements. The fitted intensity function reveals insights into the dynamics of price fluctuations arising from the interactions of order flow and provides critical information to predict the new best prices in the near future.
Recommended Citation
Jiang, Wenqing, "Modeling Prices in Limit Order Book Using Univariate Hawkes Point Process" (2024). University of New Orleans Theses and Dissertations. 3167.
https://scholarworks.uno.edu/td/3167
Rights
The University of New Orleans and its agents retain the non-exclusive license to archive and make accessible this dissertation or thesis in whole or in part in all forms of media, now or hereafter known. The author retains all other ownership rights to the copyright of the thesis or dissertation.