Modeling Bid and Ask Price Dynamics with an Extended Hawkes Process and Its Empirical Applications for High-Frequency Stock Market Data

This study proposes a versatile model for the dynamics of best bid and ask prices using an extended Hawkes process. The incorporates zero intensities spread-narrowing processes at minimum bid-ask spread, spread-dependent intensities, possible negative excitement, nonnegative intensities. We apply to high-frequency price data from US stock markets. empirical findings demonstrate tendency, excitations caused by previous events, impact flash crashes, characteristic trends in fast trading over time, different features market participants various exchanges.