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Hawkes processes and their applications to finance: a review

Citations

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Cited by:

  1. Ma, Yong & Pan, Dongtao & Shrestha, Keshab & Xu, Weidong, 2020. "Pricing and hedging foreign equity options under Hawkes jump–diffusion processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
  2. Song, Shiyu, 2024. "The valuation of arithmetic Asian options with mean reversion and jump clustering," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
  3. Kramer, Anke & Kiesel, Rüdiger, 2021. "Exogenous factors for order arrivals on the intraday electricity market," Energy Economics, Elsevier, vol. 97(C).
  4. Mohammad Masoud Rahimi & Elham Naghizade & Mark Stevenson & Stephan Winter, 2023. "SentiHawkes: a sentiment-aware Hawkes point process to model service quality of public transport using Twitter data," Public Transport, Springer, vol. 15(2), pages 343-376, June.
  5. Pankaj Kumar, 2021. "Deep Hawkes Process for High-Frequency Market Making," Papers 2109.15110, arXiv.org.
  6. Lee Kyungsub, 2024. "Multi-kernel property in high-frequency price dynamics under Hawkes model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(4), pages 605-624.
  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. 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.
  9. M. Shabani & M. Magris & George Tzagkarakis & J. Kanniainen & A. Iosifidis, 2023. "Predicting the state of synchronization of financial time series using cross recurrence plots," Post-Print hal-04415269, HAL.
  10. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
    • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
  11. 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.
  12. Leonardo Ieracitano Vieira & Márcio Poletti Laurini, 2023. "Time-varying higher moments in Bitcoin," Digital Finance, Springer, vol. 5(2), pages 231-260, June.
  13. 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).
  14. Fabio Vanni & David Lambert, 2023. "A detection analysis for temporal memory patterns at different time-scales," Papers 2309.12034, arXiv.org.
  15. Yang Shen & Bin Zou, 2021. "Mean-Variance Portfolio Selection in Contagious Markets," Papers 2110.09417, arXiv.org.
  16. Mostafa Shabani & Martin Magris & George Tzagkarakis & Juho Kanniainen & Alexandros Iosifidis, 2022. "Predicting the State of Synchronization of Financial Time Series using Cross Recurrence Plots," Papers 2210.14605, arXiv.org, revised Nov 2022.
  17. Kyungsub Lee, 2023. "Multi-kernel property in high-frequency price dynamics under Hawkes model," Papers 2302.11822, arXiv.org.
  18. Ying Chen & Ulrich Horst & Hoang Hai Tran, 2019. "Portfolio liquidation under transient price impact -- theoretical solution and implementation with 100 NASDAQ stocks," Papers 1912.06426, arXiv.org.
  19. 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.
  20. 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.
  21. 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.
  22. 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.
  23. Patrick Chang & Etienne Pienaar & Tim Gebbie, 2020. "Detecting discrete processes with the Epps effect," Papers 2005.10568, arXiv.org, revised Dec 2024.
  24. 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.
  25. 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.
  26. Francesco Serafini & Finn Lindgren & Mark Naylor, 2023. "Approximation of Bayesian Hawkes process with inlabru," Environmetrics, John Wiley & Sons, Ltd., vol. 34(5), August.
  27. Kevin Kurt & Rudiger Frey, 2021. "Markov-Modulated Affine Processes," Papers 2106.16240, arXiv.org, revised Aug 2022.
  28. Kotaro Sakuraba & Wataru Kurebayashi & Masato Hisakado & Shintaro Mori, 2024. "Self-exciting negative binomial distribution process and critical properties of intensity distribution," Evolutionary and Institutional Economics Review, Springer, vol. 21(2), pages 277-299, September.
  29. Philip Protter & Qianfan Wu & Shihao Yang, 2021. "Order Book Queue Hawkes-Markovian Modeling," Papers 2107.09629, arXiv.org, revised Jan 2022.
  30. Cattiaux, Patrick & Colombani, Laetitia & Costa, Manon, 2022. "Limit theorems for Hawkes processes including inhibition," Stochastic Processes and their Applications, Elsevier, vol. 149(C), pages 404-426.
  31. Hainaut, Donatien, 2023. "A mutually exciting rough jump diffusion for financial modelling," LIDAM Discussion Papers ISBA 2023011, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  32. Kwok, Simon, 2020. "Nonparametric Inference of Jump Autocorrelation," Working Papers 2020-09, University of Sydney, School of Economics, revised Jan 2021.
  33. 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.
  34. Kurt, Kevin & Frey, Rüdiger, 2022. "Markov-modulated affine processes," Stochastic Processes and their Applications, Elsevier, vol. 153(C), pages 391-422.
  35. 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.
  36. 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.
  37. Konark Jain & Nick Firoozye & Jonathan Kochems & Philip Treleaven, 2024. "Limit Order Book Simulations: A Review," Papers 2402.17359, arXiv.org, revised Mar 2024.
  38. Kyungsub Lee, 2024. "Discrete Hawkes process with flexible residual distribution and filtered historical simulation," Papers 2401.13890, arXiv.org.
  39. Pagnottoni, Paolo & Spelta, Alessandro & Flori, Andrea & Pammolli, Fabio, 2022. "Climate change and financial stability: Natural disaster impacts on global stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 599(C).
  40. Buccioli, Alice & Kokholm, Thomas & Nicolosi, Marco, 2019. "Expected shortfall and portfolio management in contagious markets," Journal of Banking & Finance, Elsevier, vol. 102(C), pages 100-115.
  41. 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.
  42. Hainaut, Donatien & Chen, Maggie & Scalas, Enrico, 2023. "The rough Hawkes process," LIDAM Discussion Papers ISBA 2023007, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
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