{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,10,11]],"date-time":"2025-10-11T02:49:10Z","timestamp":1760150950221,"version":"build-2065373602"},"reference-count":52,"publisher":"MDPI AG","issue":"2","license":[{"start":{"date-parts":[[2022,1,29]],"date-time":"2022-01-29T00:00:00Z","timestamp":1643414400000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Entropy"],"abstract":"<jats:p>Traders who instantly react to changes in the financial market and place orders in milliseconds are called high-frequency traders (HFTs). HFTs have recently become more prevalent and attracting attention in the study of market microstructures. In this study, we used data to track the order history of individual HFTs in the USD\/JPY forex market to reveal how individual HFTs interact with the order book and what strategies they use to place their limit orders. Specifically, we introduced an 8-dimensional multivariate Hawkes process that included the excitations due to the occurrence of limit orders, cancel orders, and executions in the order book change, and performed maximum likelihood estimations of the limit order processes for 134 HFTs. As a result, we found that the limit order generation processes of 104 of the 134 HFTs were modeled by a multivariate Hawkes process. In this analysis of the EBS market, the HFTs whose strategies were modeled by the Hawkes process were categorized into three groups according to their excitation mechanisms: (1) those excited by executions; (2) those that were excited by the occurrences or cancellations of limit orders; and (3) those that were excited by their own orders.<\/jats:p>","DOI":"10.3390\/e24020214","type":"journal-article","created":{"date-parts":[[2022,1,29]],"date-time":"2022-01-29T23:02:06Z","timestamp":1643497326000},"page":"214","update-policy":"https:\/\/doi.org\/10.3390\/mdpi_crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Analysis of Individual High-Frequency Traders\u2019 Buy\u2013Sell Order Strategy Based on Multivariate Hawkes Process"],"prefix":"10.3390","volume":"24","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-2658-1558","authenticated-orcid":false,"given":"Hiroki","family":"Watari","sequence":"first","affiliation":[{"name":"Department of Mathematical and Computing Science, School of Computing, Tokyo Institute of Technology, Yokohama 226-8502, Japan"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-4452-5517","authenticated-orcid":false,"given":"Hideki","family":"Takayasu","sequence":"additional","affiliation":[{"name":"Institute of Innovative Research, Tokyo Institute of Technology, Yokohama 226-8502, Japan"},{"name":"Sony Computer Science Laboratories, Tokyo 141-0022, Japan"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-2467-614X","authenticated-orcid":false,"given":"Misako","family":"Takayasu","sequence":"additional","affiliation":[{"name":"Department of Mathematical and Computing Science, School of Computing, Tokyo Institute of Technology, Yokohama 226-8502, Japan"},{"name":"Institute of Innovative Research, Tokyo Institute of Technology, Yokohama 226-8502, Japan"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"1968","published-online":{"date-parts":[[2022,1,29]]},"reference":[{"key":"ref_1","doi-asserted-by":"crossref","first-page":"1775","DOI":"10.1111\/0022-1082.00072","article-title":"Are investors reluctant to realize their losses?","volume":"53","author":"Odean","year":"1998","journal-title":"J. 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