Hawkes processes in finance: market structure and impactHawkes processfinancial marketasset pricingfinancial riskcontagionfinancial clusteringNo abstract is available for this item.doi:10.1080/1351847X.2022.2060755Jing ChenNick TaylorSteve YangQian Han
Quantitative Finance - Trading and Market MicrostructureIn this paper we propose an overview of the recent academic literature devoted to the applications of Hawkes processes in finance. Hawkes processes constitute a particular class of multivariate point processes that has become very popular in ...
Because of their tractability and their natural interpretations in term of market quantities, Hawkes processes are nowadays widely used in high-frequency finance. However, in practice, the statistical estimation results seem to show that very often, only nearly unstable Hawkes processes are able to fi...
The importance of mutually exciting processes has expanded in financial econometrics over the last years; see [3], [10], [14], [20] among others. From a wider perspective however, a mathematical analysis of the limiting behaviour of Hawkes processes has a relevance beyond finance: these includ...
pythonfinancealgorithmic-tradingpairs-tradinghawkes-processrsi-strategy UpdatedJan 23, 2025 Python Hidden Markov Hawkes Process - Model for Analyzing Topical Transitions in text based cascades in Social Networks. generative-modelgibbs-samplingpoint-processmcmc-samplerhawkes-process ...
Marked temporal point processes (MTPPs) are used to model sequences of different types of events with irregular arrival times, with broad applications ranging from healthcare and social networks to finance. We address shortcomings in existing point process models by drawing connections between modern ...
Point processesHawkes processeslimit theoremsmicrostructure modelinghigh-frequency dataorder flowsCox-Ingersoll-Ross modelHeston modelBecause of their tractability and their natural interpretations in term ofmarket quantities, Hawkes processes are nowadays widely used in high-frequencyfinance. However, in ...
This variance-Hawkes process allows financial models to easily have clustering effects encoded into their behaviour in a simple and tractable way. We also compare the simulations of a square of a variance Hawkes process with its Ito formula. We simulate both processes and compare their distributions...
A score statistic for detecting the impact of marks in a linear Hawkes self-exciting point process is proposed, with its asymptotic properties, finite samp
what are modern “jump” tests finding in stock returns?Michael Schwert(2010)10 largest market-cap...