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Analysis and modeling of high frequency dynamics in financial markets

Abstract : This thesis is dedicated to the study of market microstructure and price dynamics in the electronic market. We start byconstructing an order flows model under the framework of point processes. We combine multivariate Hawkes processeswith the so-called “queue reactive" property firstly introduced in [87]. In our model, the intensity of order flows dependsexplicitly on the current state of the Limit Order Book and also on past order flows. Ergodicity is proven in this model,which allows one to apply it for simulation purposes. The second part is dedicated to the analysis of rough volatility. Fromthe Gaussian random field, we construct a family of parametrized random processes. Our approach unifies two famousvolatility models, the rough fractional stochastic volatility (RFSV) model and the multifractal random walk (MRW), underthe same framework. We also proposed a more reliable GMM estimator to calibrate the Hurst parameter H. The lastpart of this thesis highlights the analysis of price covariance. Under the framework of multivariate Hawkes processes,we express the covariance of price as a consequence of cascading order flows arriving on the LOB. This representationallows identifying each market participant’s influence over the price covariance.
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Submitted on : Tuesday, July 12, 2022 - 2:47:01 PM
Last modification on : Thursday, July 14, 2022 - 3:51:47 AM


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Peng Wu. Analysis and modeling of high frequency dynamics in financial markets. General Mathematics [math.GM]. Université Paris sciences et lettres, 2022. English. ⟨NNT : 2022UPSLD008⟩. ⟨tel-03721215⟩



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