An order book dependent Hawkes process is estimated via a scalable algorithm for large high-frequency datasets, with out-of-sample tests on four NYSE stocks showing added value from nonlinear order book covariates.
(2018) Estimation for the Prediction of Point Processes with Many Covari- ates
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Estimation of an Order Book Dependent Hawkes Process for Large Datasets
An order book dependent Hawkes process is estimated via a scalable algorithm for large high-frequency datasets, with out-of-sample tests on four NYSE stocks showing added value from nonlinear order book covariates.