Extended State-dependent Hawkes Process for Limit Order Books: Mathematical Foundation and the Reproduction of Volatility Signature Plots

By Akitoshi Kimura

Published 2026-08-11

Everscope rating

1966.1

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

3 / 5

About this paper

Methodology: Extended State-dependent Hawkes Process (ExsdHawkes). Problem types: Density Estimation, Generative Modeling, Time Series Forecasting, Risk Management, Market Making.

arXiv:2604.23961 · Paper rankings

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