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Hawkes processes in finance

Citations

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Cited by:

  1. Hyun Jin Jang & Kiseop Lee & Kyungsub Lee, 2020. "Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(2), pages 247-275, February.
  2. Swishchuk, Anatoliy & Zagst, Rudi & Zeller, Gabriela, 2021. "Hawkes processes in insurance: Risk model, application to empirical data and optimal investment," Insurance: Mathematics and Economics, Elsevier, vol. 101(PA), pages 107-124.
  3. Maxime Morariu-Patrichi & Mikko S. Pakkanen, 2018. "State-dependent Hawkes processes and their application to limit order book modelling," Papers 1809.08060, arXiv.org, revised Sep 2021.
  4. Teruo Kemmotsu, 2021. "Bankruptcy risk dependence structure using the INAR model comprising macroeconomic indicators applied to stress tests," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(4), pages 563-585, December.
  5. Pelizzon, Loriana & Sagade, Satchit & Vozian, Katia, 2020. "Resiliency: Cross-venue dynamics with Hawkes processes," SAFE Working Paper Series 291, Leibniz Institute for Financial Research SAFE.
  6. Roger Martins & Dieter Hendricks, 2016. "The statistical significance of multivariate Hawkes processes fitted to limit order book data," Papers 1604.01824, arXiv.org, revised Apr 2016.
  7. Cao, Jingyi & Landriault, David & Li, Bin, 2020. "Optimal reinsurance-investment strategy for a dynamic contagion claim model," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 206-215.
  8. Patrick Chang & Roger Bukuru & Tim Gebbie, 2019. "Revisiting the Epps effect using volume time averaging: An exercise in R," Papers 1912.02416, arXiv.org, revised Feb 2020.
  9. Peng Wu & Marcello Rambaldi & Jean-Franc{c}ois Muzy & Emmanuel Bacry, 2019. "Queue-reactive Hawkes models for the order flow," Papers 1901.08938, arXiv.org.
  10. Rachele Foschi & Francesca Lilla & Cecilia Mancini, 2020. "Warnings about future jumps: properties of the exponential Hawkes model," Working Papers 13/2020, University of Verona, Department of Economics.
  11. Luca Lalor & Anatoliy Swishchuk, 2024. "Algorithmic and High-Frequency Trading Problems for Semi-Markov and Hawkes Jump-Diffusion Models," Papers 2409.12776, arXiv.org.
  12. Paul Jusselin & Mathieu Rosenbaum, 2020. "No‐arbitrage implies power‐law market impact and rough volatility," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1309-1336, October.
  13. Aditya Nittur Anantha & Shashi Jain, 2024. "Forecasting High Frequency Order Flow Imbalance," Papers 2408.03594, arXiv.org.
  14. Miko{l}aj Bi'nkowski & Charles-Albert Lehalle, 2018. "Endogeneous Dynamics of Intraday Liquidity," Papers 1811.03766, arXiv.org.
  15. Simon Clinet, 2022. "Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes," Statistical Inference for Stochastic Processes, Springer, vol. 25(2), pages 189-225, July.
  16. Cui, Zhenyu & Lars Kirkby, J. & Nguyen, Duy, 2019. "A general framework for time-changed Markov processes and applications," European Journal of Operational Research, Elsevier, vol. 273(2), pages 785-800.
  17. Raviar Karim & Roger J. A. Laeven & Michel Mandjes, 2021. "Exact and Asymptotic Analysis of General Multivariate Hawkes Processes and Induced Population Processes," Papers 2106.03560, arXiv.org.
  18. Ulrich Horst & Wei Xu, 2019. "The Microstructure of Stochastic Volatility Models with Self-Exciting Jump Dynamics," Papers 1911.12969, arXiv.org.
  19. Hainaut, Donatien, 2020. "Fractional Hawkes processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 549(C).
  20. Kyungsub Lee, 2023. "Multi-kernel property in high-frequency price dynamics under Hawkes model," Papers 2302.11822, arXiv.org.
  21. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2020. "Endogenous Liquidity Crises," Post-Print hal-02567495, HAL.
  22. Francine Gresnigt & Erik Kole & Philip Hans Franses, 2017. "Specification Testing in Hawkes Models," Journal of Financial Econometrics, Oxford University Press, vol. 15(1), pages 139-171.
  23. Kramer, Anke & Kiesel, Rüdiger, 2021. "Exogenous factors for order arrivals on the intraday electricity market," Energy Economics, Elsevier, vol. 97(C).
  24. Ioane Muni Toke, 2017. "Stationary Distribution Of The Volume At The Best Quote In A Poisson Order Book Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(06), pages 1-22, September.
  25. Marcello Rambaldi & Emmanuel Bacry & Jean-Franc{c}ois Muzy, 2018. "Disentangling and quantifying market participant volatility contributions," Papers 1807.07036, arXiv.org.
  26. Simon Clinet & William T. M. Dunsmuir & Gareth W. Peters & Kylie-Anne Richards, 2019. "Asymptotic Distribution of the Score Test for Detecting Marks in Hawkes Processes," Research Paper Series 404, Quantitative Finance Research Centre, University of Technology, Sydney.
  27. Bufalo, Michele & Ceci, Claudia & Orlando, Giuseppe, 2024. "Addressing the financial impact of natural disasters in the era of climate change," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
  28. Hui Qu & Tianyang Wang & Peng Shangguan & Mengying He, 2024. "Revisiting the puzzle of jumps in volatility forecasting: The new insights of high‐frequency jump intensity," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(2), pages 218-251, February.
  29. Clinet, Simon & Yoshida, Nakahiro, 2017. "Statistical inference for ergodic point processes and application to Limit Order Book," Stochastic Processes and their Applications, Elsevier, vol. 127(6), pages 1800-1839.
  30. Ulrich Horst & Wei Xu, 2017. "A Scaling Limit for Limit Order Books Driven by Hawkes Processes," Papers 1709.01292, arXiv.org, revised Aug 2018.
  31. José Da Fonseca & Riadh Zaatour, 2017. "Correlation and Lead–Lag Relationships in a Hawkes Microstructure Model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 37(3), pages 260-285, March.
  32. Patrick Chang & Etienne Pienaar & Tim Gebbie, 2020. "Detecting discrete processes with the Epps effect," Papers 2005.10568, arXiv.org, revised Dec 2024.
  33. Charlotte Dion & Sarah Lemler, 2020. "Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process," Statistical Inference for Stochastic Processes, Springer, vol. 23(3), pages 489-515, October.
  34. Xuefeng Gao & Xiang Zhou & Lingjiong Zhu, 2017. "Transform Analysis for Hawkes Processes with Applications in Dark Pool Trading," Papers 1710.01452, arXiv.org.
  35. Anastasia Borovykh & Andrea Pascucci & Stefano La Rovere, 2018. "Systemic risk in a mean-field model of interbank lending with self-exciting shocks," IISE Transactions, Taylor & Francis Journals, vol. 50(9), pages 806-819, September.
  36. Hainaut, Donatien, 2016. "A bivariate Hawkes process for interest rate modeling," Economic Modelling, Elsevier, vol. 57(C), pages 180-196.
  37. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2019. "Endogenous Liquidity Crises," Papers 1912.00359, arXiv.org, revised Feb 2020.
  38. Tomlinson, Matthew F. & Greenwood, David & Mucha-Kruczyński, Marcin, 2024. "2T-POT Hawkes model for left- and right-tail conditional quantile forecasts of financial log returns: Out-of-sample comparison of conditional EVT models," International Journal of Forecasting, Elsevier, vol. 40(1), pages 324-347.
  39. Chen, Zezhun & Dassios, Angelos, 2022. "Cluster point processes and Poisson thinning INARMA," LSE Research Online Documents on Economics 113652, London School of Economics and Political Science, LSE Library.
  40. Mehdi Tomas & Mathieu Rosenbaum, 2019. "From microscopic price dynamics to multidimensional rough volatility models," Papers 1910.13338, arXiv.org, revised Oct 2019.
  41. Joshua McGillivray & Anatoliy Swishchuk, 2024. "Variance-Hawkes Process and its Application to Energy Markets," Papers 2410.08420, arXiv.org.
  42. Guanxing Fu & Ulrich Horst & Xiaonyu Xia, 2020. "Portfolio Liquidation Games with Self-Exciting Order Flow," Papers 2011.05589, arXiv.org.
  43. Jim Gatheral & Martin Keller-Ressel, 2018. "Affine forward variance models," Papers 1801.06416, arXiv.org, revised Oct 2018.
  44. Hai-Chuan Xu & Wei-Xing Zhou, 2020. "Modeling aggressive market order placements with Hawkes factor models," PLOS ONE, Public Library of Science, vol. 15(1), pages 1-12, January.
  45. Anatoliy Swishchuk, 2017. "General Compound Hawkes Processes in Limit Order Books," Papers 1706.07459, arXiv.org, revised Jun 2017.
  46. Bruno Gav{s}perov & Zvonko Kostanjv{c}ar, 2022. "Deep Reinforcement Learning for Market Making Under a Hawkes Process-Based Limit Order Book Model," Papers 2207.09951, arXiv.org.
  47. Maxime Morariu-Patrichi & Mikko Pakkanen, 2018. "State-dependent Hawkes processes and their application to limit order book modelling," CREATES Research Papers 2018-26, Department of Economics and Business Economics, Aarhus University.
  48. Jim Gatheral & Martin Keller-Ressel, 2019. "Affine forward variance models," Finance and Stochastics, Springer, vol. 23(3), pages 501-533, July.
  49. Li, Zhongping & Cui, Lirong & Chen, Jianhui, 2018. "Traffic accident modelling via self-exciting point processes," Reliability Engineering and System Safety, Elsevier, vol. 180(C), pages 312-320.
  50. Du Du & Dan Luo, 2019. "The Pricing of Jump Propagation: Evidence from Spot and Options Markets," Management Science, INFORMS, vol. 67(5), pages 2360-2387, May.
  51. Mathieu Rosenbaum & Mehdi Tomas, 2021. "A characterisation of cross-impact kernels," Papers 2107.08684, arXiv.org.
  52. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2020. "Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events," Papers 2005.05730, arXiv.org.
  53. Pierre Blanc & Jonathan Donier & Jean-Philippe Bouchaud, 2015. "Quadratic Hawkes processes for financial prices," Papers 1509.07710, arXiv.org.
  54. Anatoliy Swishchuk & Bruno Remillard & Robert Elliott & Jonathan Chavez-Casillas, 2017. "Compound Hawkes Processes in Limit Order Books," Papers 1712.03106, arXiv.org.
  55. Xiaofei Lu & Frédéric Abergel, 2017. "Limit order book modelling with high dimensional Hawkes processes," Working Papers hal-01512430, HAL.
  56. Fabio Vanni & David Lambert, 2023. "A detection analysis for temporal memory patterns at different time-scales," Papers 2309.12034, arXiv.org.
  57. Guanxing Fu & Ulrich Horst & Xiaonyu Xia, 2022. "Portfolio liquidation games with self‐exciting order flow," Mathematical Finance, Wiley Blackwell, vol. 32(4), pages 1020-1065, October.
  58. Frederic Paik Schoenberg & Marc Hoffmann & Ryan J. Harrigan, 2019. "A recursive point process model for infectious diseases," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 71(5), pages 1271-1287, October.
  59. Kurt, Kevin & Frey, Rüdiger, 2022. "Markov-modulated affine processes," Stochastic Processes and their Applications, Elsevier, vol. 153(C), pages 391-422.
  60. Michał Narajewski & Florian Ziel, 2019. "Estimation and Simulation of the Transaction Arrival Process in Intraday Electricity Markets," Energies, MDPI, vol. 12(23), pages 1-16, November.
  61. Simon Clinet, 2020. "Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes," Papers 2001.11624, arXiv.org, revised Aug 2021.
  62. Nian Yao & Zhiqiu Li & Zhichao Ling & Junfeng Lin, 2020. "Asymptotic Smiles for an Affine Jump-Diffusion Model," Papers 2003.00334, arXiv.org, revised May 2020.
  63. Kyungsub Lee, 2022. "Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures," Papers 2207.05939, arXiv.org, revised Sep 2024.
  64. Lu-ning Zhang & Jian-wei Liu & Xin Zuo, 2023. "Doubly time-dependent Hawkes process and applications in failure sequence analysis," Computational Statistics, Springer, vol. 38(2), pages 1057-1093, June.
  65. Marcello Rambaldi & Emmanuel Bacry & Fabrizio Lillo, 2016. "The role of volume in order book dynamics: a multivariate Hawkes process analysis," Papers 1602.07663, arXiv.org.
  66. Omar Euch & Masaaki Fukasawa & Mathieu Rosenbaum, 2018. "The microstructural foundations of leverage effect and rough volatility," Finance and Stochastics, Springer, vol. 22(2), pages 241-280, April.
  67. Li, Bo & Pang, Guodong, 2022. "Functional limit theorems for nonstationary marked Hawkes processes in the high intensity regime," Stochastic Processes and their Applications, Elsevier, vol. 143(C), pages 285-339.
  68. Yang Shen & Bin Zou, 2021. "Mean-Variance Portfolio Selection in Contagious Markets," Papers 2110.09417, arXiv.org.
  69. Thanh Trung Huynh & Minh Hieu Nguyen & Thanh Tam Nguyen & Phi Le Nguyen & Matthias Weidlich & Quoc Viet Hung Nguyen & Karl Aberer, 2022. "Efficient Integration of Multi-Order Dynamics and Internal Dynamics in Stock Movement Prediction," Papers 2211.07400, arXiv.org, revised Nov 2022.
  70. Ivan Jericevich & Patrick Chang & Tim Gebbie, 2021. "Simulation and estimation of a point-process market-model with a matching engine," Papers 2105.02211, arXiv.org, revised Aug 2021.
  71. Jiao, Ying & Ma, Chunhua & Scotti, Simone & Sgarra, Carlo, 2019. "A branching process approach to power markets," Energy Economics, Elsevier, vol. 79(C), pages 144-156.
  72. Rudy Morel & Gaspar Rochette & Roberto Leonarduzzi & Jean-Philippe Bouchaud & St'ephane Mallat, 2022. "Scale Dependencies and Self-Similar Models with Wavelet Scattering Spectra," Papers 2204.10177, arXiv.org, revised Jun 2023.
  73. Marcus Cordi & Serge Kassibrakis & Damien Challet, 2018. "The market nanostructure origin of asset price time reversal asymmetry," Working Papers hal-01966419, HAL.
  74. Schatz, Michael & Wheatley, Spencer & Sornette, Didier, 2022. "The ARMA Point Process and its Estimation," Econometrics and Statistics, Elsevier, vol. 24(C), pages 164-182.
  75. Rachele Foschi, 2021. "Measuring Discrepancies Between Poisson and Exponential Hawkes Processes," Methodology and Computing in Applied Probability, Springer, vol. 23(1), pages 219-239, March.
  76. Simon Clinet & William T. M. Dunsmuir & Gareth W. Peters & Kylie-Anne Richards, 2021. "Asymptotic distribution of the score test for detecting marks in hawkes processes," Statistical Inference for Stochastic Processes, Springer, vol. 24(3), pages 635-668, October.
  77. Fu, Guanxing & Horst, Ulrich & Xia, Xiaonyu, 2022. "Portfolio Liquidation Games with Self-Exciting Order Flow," Rationality and Competition Discussion Paper Series 327, CRC TRR 190 Rationality and Competition.
  78. Zailei Cheng & Youngsoo Seol, 2018. "Gaussian Approximation of a Risk Model with Non-Stationary Hawkes Arrivals of Claims," Papers 1801.07595, arXiv.org, revised Aug 2019.
  79. Qiyue He & Anatoliy Swishchuk, 2019. "Quantitative and Comparative Analyses of Limit Order Books with General Compound Hawkes Processes," Risks, MDPI, vol. 7(4), pages 1-21, November.
  80. Peng Wu & Marcello Rambaldi & Jean-François Muzy & Emmanuel Bacry, 2023. "A single queue-reactive Hawkes model for the order flow," Post-Print hal-02409073, HAL.
  81. Milan Ficura & Jiri Witzany, 2016. "Estimating Stochastic Volatility and Jumps Using High-Frequency Data and Bayesian Methods," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(4), pages 278-301, August.
  82. Marcus Cordi & Damien Challet & Serge Kassibrakis, 2021. "The market nanostructure origin of asset price time reversal asymmetry," Quantitative Finance, Taylor & Francis Journals, vol. 21(2), pages 295-304, February.
  83. Pankaj Kumar, 2021. "Deep Hawkes Process for High-Frequency Market Making," Papers 2109.15110, arXiv.org.
  84. Hainaut, Donatien & Goutte, Stephane, 2018. "A switching microstructure model for stock prices," LIDAM Discussion Papers ISBA 2018014, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  85. Sobin Joseph & Lekhapriya Dheeraj Kashyap & Shashi Jain, 2020. "Shallow Neural Hawkes: Non-parametric kernel estimation for Hawkes processes," Papers 2006.02460, arXiv.org.
  86. Vipul Aggarwal & Elina H. Hwang & Yong Tan, 2021. "Learning to Be Creative: A Mutually Exciting Spatiotemporal Point Process Model for Idea Generation in Open Innovation," Information Systems Research, INFORMS, vol. 32(4), pages 1214-1235, December.
  87. Baichuan Yuan & Frederic P. Schoenberg & Andrea L. Bertozzi, 2021. "Fast estimation of multivariate spatiotemporal Hawkes processes and network reconstruction," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(6), pages 1127-1152, December.
  88. Haghighi, Afshin & Fallahpour, Saeid & Eyvazlu, Reza, 2016. "Modelling order arrivals at price limits using Hawkes processes," Finance Research Letters, Elsevier, vol. 19(C), pages 267-272.
  89. Myles Sjogren & Timothy DeLise, 2021. "General Compound Hawkes Processes for Mid-Price Prediction," Papers 2110.07075, arXiv.org.
  90. Xuefeng Gao & Lingjiong Zhu, 2018. "Functional central limit theorems for stationary Hawkes processes and application to infinite-server queues," Queueing Systems: Theory and Applications, Springer, vol. 90(1), pages 161-206, October.
  91. Simon Clinet & Yoann Potiron, 2016. "Statistical inference for the doubly stochastic self-exciting process," Papers 1607.05831, arXiv.org, revised Jun 2017.
  92. Frederic Paik Schoenberg, 2022. "Nonparametric estimation of variable productivity Hawkes processes," Environmetrics, John Wiley & Sons, Ltd., vol. 33(6), September.
  93. Maxime Morariu-Patrichi & Mikko S. Pakkanen, 2017. "Hybrid marked point processes: characterisation, existence and uniqueness," Papers 1707.06970, arXiv.org, revised Oct 2018.
  94. Kyungsub Lee, 2024. "Discrete Hawkes process with flexible residual distribution and filtered historical simulation," Papers 2401.13890, arXiv.org.
  95. Peng Wu & Marcello Rambaldi & Jean-François Muzy & Emmanuel Bacry, 2021. "Queue-reactive Hawkes models for the order flow," Working Papers hal-02409073, HAL.
  96. Anatoliy Swishchuk, 2021. "Modelling of Limit Order Books by General Compound Hawkes Processes with Implementations," Methodology and Computing in Applied Probability, Springer, vol. 23(1), pages 399-428, March.
  97. Ketelbuters, John John & Hainaut, Donatien, 2021. "Time-Consistent Evaluation of Credit Risk with Contagion," LIDAM Discussion Papers ISBA 2021004, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  98. Mercuri, Lorenzo & Perchiazzo, Andrea & Rroji, Edit, 2024. "A Hawkes model with CARMA(p,q) intensity," Insurance: Mathematics and Economics, Elsevier, vol. 116(C), pages 1-26.
  99. Dassios, Angelos & Zhao, Hongbiao, 2017. "A generalised contagion process with an application to credit risk," LSE Research Online Documents on Economics 68558, London School of Economics and Political Science, LSE Library.
  100. Anatoliy Swishchuk & Aiden Huffman, 2018. "General Compound Hawkes Processes in Limit Order Books," Papers 1812.02298, arXiv.org.
  101. El Euch Omar & Fukasawa Masaaki & Rosenbaum Mathieu, 2016. "The microstructural foundations of leverage effect and rough volatility," Papers 1609.05177, arXiv.org.
  102. Fokianos, Konstantinos, 2024. "Multivariate Count Time Series Modelling," Econometrics and Statistics, Elsevier, vol. 31(C), pages 100-116.
  103. Thomas Deschatre & Pierre Gruet, 2021. "Electricity intraday price modeling with marked Hawkes processes," Papers 2103.07407, arXiv.org, revised Mar 2021.
  104. Hainaut, Donatien, 2019. "Fractional Hawkes processes," LIDAM Discussion Papers ISBA 2019016, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  105. Marius Pfeuffer & Goncalo dos Reis & Greig smith, 2018. "Capturing Model Risk and Rating Momentum in the Estimation of Probabilities of Default and Credit Rating Migrations," Papers 1809.09889, arXiv.org, revised Feb 2020.
  106. Horst, Ulrich & Xu, Wei, 2021. "Functional limit theorems for marked Hawkes point measures," Stochastic Processes and their Applications, Elsevier, vol. 134(C), pages 94-131.
  107. Timoth'ee Fabre & Ioane Muni Toke, 2024. "Neural Hawkes: Non-Parametric Estimation in High Dimension and Causality Analysis in Cryptocurrency Markets," Papers 2401.09361, arXiv.org, revised Nov 2024.
  108. Jean-Philippe Bouchaud, 2021. "The Inelastic Market Hypothesis: A Microstructural Interpretation," Papers 2108.00242, arXiv.org, revised Jan 2022.
  109. Schneider, Michael & Lillo, Fabrizio & Pelizzon, Loriana, 2016. "How has sovereign bond market liquidity changed? An illiquidity spillover analysis," SAFE Working Paper Series 151, Leibniz Institute for Financial Research SAFE.
  110. Patrick Chang & Etienne Pienaar & Tim Gebbie, 2020. "The Epps effect under alternative sampling schemes," Papers 2011.11281, arXiv.org, revised Aug 2021.
  111. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2020. "Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events," Working Papers hal-02998555, HAL.
  112. Achraf Bahamou & Maud Doumergue & Philippe Donnat, 2019. "Hawkes processes for credit indices time series analysis: How random are trades arrival times?," Papers 1902.03714, arXiv.org.
  113. Lucio Maria Calcagnile & Giacomo Bormetti & Michele Treccani & Stefano Marmi & Fabrizio Lillo, 2015. "Collective synchronization and high frequency systemic instabilities in financial markets," Papers 1505.00704, arXiv.org.
  114. Angelos Dassios & Hongbiao Zhao, 2017. "A Generalized Contagion Process With An Application To Credit Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-33, February.
  115. Nikolaus Graf von Luckner & Rüdiger Kiesel, 2021. "Modeling Market Order Arrivals on the German Intraday Electricity Market with the Hawkes Process," JRFM, MDPI, vol. 14(4), pages 1-31, April.
  116. Ulrich Horst & Wei Xu, 2019. "Functional Limit Theorems for Marked Hawkes Point Measures ," Working Papers hal-02443841, HAL.
  117. Jean-Philippe Bouchaud, 2021. "Radical Complexity," Papers 2103.09692, arXiv.org.
  118. Xiaofei Lu & Frédéric Abergel, 2018. "High dimensional Hawkes processes for limit order books Modelling, empirical analysis and numerical calibration," Post-Print hal-01686122, HAL.
  119. Pfaffelhuber, P. & Rotter, S. & Stiefel, J., 2022. "Mean-field limits for non-linear Hawkes processes with excitation and inhibition," Stochastic Processes and their Applications, Elsevier, vol. 153(C), pages 57-78.
  120. Ingemar Kaj & Mine Caglar, 2017. "A buffer Hawkes process for limit order books," Papers 1710.03506, arXiv.org.
  121. Benjamin Favetto, 2019. "The European intraday electricity market : a modeling based on the Hawkes process," Working Papers hal-02089289, HAL.
  122. Grames, Eliza M. & Stepule, Piper L. & Herrick, Susan Z. & Ranelli, Benjamin T. & Elphick, Chris S., 2022. "Separating acoustic signal into underlying behaviors with self-exciting point process models," Ecological Modelling, Elsevier, vol. 468(C).
  123. Lorenzo Mercuri & Andrea Perchiazzo & Edit Rroji, 2023. "Investigating Short-Term Dynamics in Green Bond Markets," Papers 2308.12179, arXiv.org.
  124. Schmutz, Valentin, 2022. "Mean-field limit of age and leaky memory dependent Hawkes processes," Stochastic Processes and their Applications, Elsevier, vol. 149(C), pages 39-59.
  125. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2020. "Endogenous Liquidity Crises," Working Papers hal-02567495, HAL.
  126. Gao, Xuefeng & Zhu, Lingjiong, 2018. "Limit theorems for Markovian Hawkes processes with a large initial intensity," Stochastic Processes and their Applications, Elsevier, vol. 128(11), pages 3807-3839.
  127. Habyarimana, Cassien & Aduda, Jane A. & Scalas, Enrico & Chen, Jing & Hawkes, Alan G. & Polito, Federico, 2023. "A fractional Hawkes process II: Further characterization of the process," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 615(C).
  128. Zailei Cheng & Youngsoo Seol, 2020. "Diffusion Approximation of a Risk Model with Non-Stationary Hawkes Arrivals of Claims," Methodology and Computing in Applied Probability, Springer, vol. 22(2), pages 555-571, June.
  129. Chang, Patrick & Pienaar, Etienne & Gebbie, Tim, 2021. "The Epps effect under alternative sampling schemes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 583(C).
  130. Anatoliy Swishchuk, 2017. "Risk Model Based on General Compound Hawkes Process," Papers 1706.09038, arXiv.org.
  131. Marcello Rambaldi & Vladimir Filimonov & Fabrizio Lillo, 2016. "Detection of intensity bursts using Hawkes processes: an application to high frequency financial data," Papers 1610.05383, arXiv.org.
  132. Laurent Lesage & Madalina Deaconu & Antoine Lejay & Jorge Augusto Meira & Geoffrey Nichil & Radu State, 2020. "Hawkes processes framework with a Gamma density as excitation function: application to natural disasters for insurance," Working Papers hal-03040090, HAL.
  133. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2021. "Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events," Post-Print hal-02998555, HAL.
  134. Laurent Lesage & Madalina Deaconu & Antoine Lejay & Jorge Augusto Meira & Geoffrey Nichil & Radu State, 2022. "Hawkes processes framework with a Gamma density as excitation function: application to natural disasters for insurance," Post-Print hal-03040090, HAL.
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