Stability and price scaling limit of a Hawkes-process based order book model

In this note, we cast a Hawkes process-based order book model into a markovian setting and; using techniques from the theory of Markov chains and stochastic stability, show that the order book is stable and leads to a diffusive price limit at large time scales.

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Field Value
Source https://hal.science/hal-00821607
Author Jedidi, Aymen, Abergel, Frédéric
Maintainer CCSD
Last Updated May 11, 2026, 04:22 (UTC)
Created May 11, 2026, 04:22 (UTC)
Identifier hal-00821607
Language en
Rights https://about.hal.science/hal-authorisation-v1/
contributor Chaire de finance quantitative (FiQuant) ; Mathématiques et Informatique pour la Complexité et les Systèmes (MICS) ; CentraleSupélec-CentraleSupélec
creator Jedidi, Aymen
date 2013-05-11T00:00:00
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harvest_source_id 3374d638-d20b-4672-ba96-a23232d55657
harvest_source_title test moissonnage SELUNE
metadata_modified 2026-03-22T00:00:00
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