# Analysis of order book flows using a nonparametric estimation of the branching ratio matrix

arXiv: https://arxiv.org/abs/1706.03411 · HTML: https://mlsanity.com/paper/1706.03411/

## Key facts

- Cited by 1 papers in the map (data through 14 Oct 2026).
- First posted on arXiv 11 Jun 2017.

## Built on by (most cited first, 1 of 1)

- [An algorithm for the computation of joint Hawkes moments with exponential kernel](https://mlsanity.com/paper/2110.13649/) (2021)

## Abstract (arXiv)

We introduce a new non parametric method that allows for a direct, fast and efficient estimation of the matrix of kernel norms of a multivariate Hawkes process, also called branching ratio matrix. We demonstrate the capabilities of this method by applying it to high-frequency order book data from the EUREX exchange. We show that it is able to uncover (or recover) various relationships between all the first level order book events associated with some asset when mapped to a 12-dimensional process. We then scale up the model so as to account for events on two assets simultaneously and we discuss the joint high-frequency dynamics.