Modelling High-Frequency Data with Bivariate Hawkes Processes: Power-Law vs. Exponential Kernels

This study explores the application of Hawkes processes to model high-frequency data in the context of limit order books. Two distinct Hawkes-based models are proposed and analyzed: one utilizing exponential kernels and the other employing power-law kernels. These models are implemented within a bivariate framework. The performance of each model is evaluated using high-frequency trading data, with a focus on their ability to reproduce key statistical properties of limit order books. Through a co...