MULTIVARIATE HAWKES-BASED MODELS IN LIMIT ORDER BOOK: EUROPEAN AND SPREAD OPTION PRICING
Bibliographic record
Abstract
In this paper, we consider the pricing problem of European options and spread options for the Hawkes-based model in the limit order book (LOB). We introduce a variant of Hawkes process and consider its limit theorems, namely the exponential multivariate general compound Hawkes process (EMGCHP). We also consider a special case of one-dimensional EMGCHP and its limit theorems. Option pricing with one-dimensional EMGCHP in LOB and numerical examples are presented. We also discuss implied volatility and implied order flow. It reveals the relationship between stock volatility and the order flow in the LOB system. In this way, the Hawkes-based model can provide more market forecast information than the classical Black–Scholes model. Margrabe’s spread options valuations with two one-dimensional and one two-dimensional Hawkes-based models for two assets are presented.
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How this classification was reachedexpand
Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.000 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.000 | 0.000 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.000 | 0.000 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.000 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one teacher head, not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".