We introduce a financial model for limit order book with two main features: First, the limit orders and market orders for the given asset both appear and interact with each other. Second, the high frequency trading (HFT, for short) activities are allowed and described by the scaling limit of nearly-unstable multi-dimensional Hawkes processes with power law decay. The model eventually becomes a stochastic partial differential equation (SPDE, for short) with the diffusion coefficient determined by a Volterra integral equation governed by a Hawkes process, whose Hurst exponent is less than 1/2, which makes the volatility path of the stochastic PDE rougher than that driven by a Brownian motion. We have further established the well-posedness of such a system so that a foundation is laid down for further studies in this direction.
| Identifer | oai:union.ndltd.org:ucf.edu/oai:stars.library.ucf.edu:etd2023-1160 |
| Date | 01 January 2024 |
| Creators | Chen-Shue, Yun S |
| Publisher | STARS |
| Source Sets | University of Central Florida |
| Language | English |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | Graduate Thesis and Dissertation 2023-2024 |
| Rights | In copyright |
Page generated in 0.0018 seconds