The Mathematical Institute, University of Oxford, Eprints Archive

High frequency dynamics of order flow

Zheng, Xiaowei (2013) High frequency dynamics of order flow. Masters thesis, Oxford University.

PDF (Xiaowei Zheng Thesis) - Submitted Version


In this paper, we focus on the high frequency dynamics of limit order flow and market order flow. We compared the fitting performance of different models for the inter-arrival time of the order flow, including exponential distribution, gamma distribution and power law. We then studied the dependence of the placement of these two order flows, which can be captured by the self-excitation effect and mutual-excitation effect of Hawkes process. We also introduced a new model which combines the Hawkes features with the gamma distribution.

Key words: High frequency dynamics; order flow; market microstructure; maximum likelihood estimation; Hawkes process; Hawkes-Gamma distribution.

Item Type:Thesis (Masters)
Subjects:H - N > Mathematics education
Research Groups:Mathematical and Computational Finance Group
ID Code:1745
Deposited By: Laura Auger
Deposited On:13 Aug 2013 19:10
Last Modified:29 May 2015 19:26

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