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In this paper we propose an overview of the recent academic literature devoted to the applications of Hawkes processes in finance.
Point spectra of some mutually exciting point processes
A.G. Hawkes · 1971
Earlier work this paper cites.
Spectra of some self-exciting and mutually exciting point processes
A.G. Hawkes · 1971
Earlier work this paper cites.
Simulation of nonhomogeneous poisson processes by thinning
P.A. Lewis and G.S. Shedler · 1979
Earlier work this paper cites.
On lewis’ simulation method for point processes
Y. Ogata · 1981
Earlier work this paper cites.
On linear intensity models for mixed doubly stochastic poisson and self- exciting point processes
Y. Ogata and H. Akaike · 1982
Earlier work this paper cites.
A theory of the term structure of interest rates
J.C. Cox, Jr Ingersoll, and S.A. Ross · 1985
Earlier work this paper cites.
An introduction to the theory of point processes
D.J. Daley and D. Vere-Jones · 1988
Earlier work this paper cites.
Statistical models for earthquake occurrences and residual analysis for point processes
Y. Ogata · 1988
Earlier work this paper cites.
Measuring the information content of stock trades
J. Hasbrouck · 1991
Earlier work this paper cites.
A closed-form solution for options with stochastic volatility with applications to bond and currency options
S.L. Heston · 1993
Earlier work this paper cites.
An empirical analysis of the limit order book and the order flow in the paris bourse
B. Biais, P. Hillion, and C. Spatt · 1995
Earlier work this paper cites.
Stability of nonlinear hawkes processes
P. Brémaud and L. Massoulié · 1996
Earlier work this paper cites.
Autoregressive conditional duration: A new model for irregulary spaced transaction data
R.F. Engle and J.R. Russel · 1998
Earlier work this paper cites.
Hawkes branching point processes without ancestors
P. Brémaud, L. Massoulié, et al · 2001
Earlier work this paper cites.
Affine processes and applications in finance
D. Duffie, D. Filipovic, and W. Schachermayer · 2003
Earlier work this paper cites.
Statistical theory of continuous double auction
E. Smith, J.D. Farmer, L. Gillemot, and S. Krishnamurthy · 2003
Earlier work this paper cites.
Perfect simulation of hawkes processes
J. Moller and J.G. Rasmussen · 2005
Earlier work this paper cites.
Multifractal scaling of thermally activated rupture processes
D. Sornette and G. Ouillon · 2005
Earlier work this paper cites.
Clustering of order arrivals, price impact and trade path optimisation
P. Hewlett · 2006
Earlier work this paper cites.
Modelling security market events in continuous time: Intensity based, multivariate point process models
C.G. Bowsher · 2007
Earlier work this paper cites.
Measuring the resiliency of an electronic limit order book
J. Large · 2007
Earlier work this paper cites.
How markets slowly digest changes in supply and demand
J.P. Bouchaud, J. D. Farmer, and F. Lillo · 2008
Earlier work this paper cites.
Estimating granger causality from fourier and wavelet transforms of time series data
M. Dhamala, G. Rangarajan, and M. Ding · 2008
Earlier work this paper cites.
Extending earthquakes’ reach through cascading
D.. Marsan and O. Lengliné · 2008
Cited alongside, same era.
Estimation of space-time branching process models in seismology using an em-type algorithm
A. Veen and F.P. Schoenberg · 2008
Cited alongside, same era.
Relation between bid–ask spread, impact and volatility in order-driven markets
M. Wyart, J.P. Bouchaud, J. Kockelkoren, M. Potters, and M. Vettorazzo · 2008
Cited alongside, same era.
Modelling financial high frequency data using point processes
L. Bauwens and N. Hautsch · 2009
Cited alongside, same era.
Stochastic conditional intensities processes
L. Bauwens and N. Hautsch · 2009
Cited alongside, same era.
Analyzing multiple spike trains with nonparametric granger causality
A.G. Nedungadi, G. Rangarajan, N. Jain, and M. Ding · 2009
Cited alongside, same era.
V. Filimonov and D. Sornette · 2013
Later among the works it cites.
Critical reflexivity in financial markets: a hawkes process analysis
S.J. Hardiman, N. Bercot, and J.P. Bouchaud · 2013
Later among the works it cites.
Stability and price scaling limit of a Hawkes-process based order book model
A. Jedidi and F. Abergel · 2013
Later among the works it cites.
Learning triggering kernels for multi-dimensional hawkes processes
K. Zhou, H. Zha, and L. Song · 2013
Later among the works it cites.
Dynamic optimal execution in a mixed-market-impact hawkes price model
A. Alfonsi and P. Blanc · 2014
Later among the works it cites.
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Price impact
J.P. Bouchaud · 2010
Cited alongside, same era.
Affine point processes and portfolio credit risk
E. Errais, K. Giesecke, and L.R. Goldberg · 2010
Cited alongside, same era.
Market making” in an order book model and its impact on the bid-ask spread
I. Muni Toke · 2010
Cited alongside, same era.
Adaptive estimation for hawkes processes; application to genome analysis
P. Reynaud-Bouret and S. Schbath · 2010
Cited alongside, same era.
A dynamic contagion process
A. Dassios and H. Zhao · 2011
Cited alongside, same era.
Multivariate hawkes processes: an application to financial data
P. Embrechts, T. Liniger, L. Lin, et al · 2011
Cited alongside, same era.
Market impacts and the life cycle of investors orders
E. Bacry, A. Iuga, M. Lasnier, and C-A. Lehalle · 2014
Later among the works it cites.
Hawkes model for price and trades high-frequency dynamics
E. Bacry and J.F. M · 2014
Later among the works it cites.
Second order statistics characterization of hawkes processes and non-parametric estimation
E. Bacry and J.F. Muzy · 2014
Later among the works it cites.
Hawkes process: Fast calibration, application to trade clustering, and diffusive limit
J. Da Fonseca and R. Zaatour · 2014
Later among the works it cites.
Branching ratio approximation for the self-exciting hawkes process
S.J. Hardiman and J.P. Bouchaud · 2014
Later among the works it cites.
Market impact as anticipation of the order flow imbalance
T. Jaisson · 2014
Later among the works it cites.
Limit theorems for nearly unstable hawkes processes
T. Jaisson and M. Rosenbaum · 2014
Later among the works it cites.
Cumulants of hawkes point processes
Stojan Jovanivić, John Hertz, and Stefan Rotter · 2014
Later among the works it cites.
Statistically significant fits of hawkes processes to financial data
M. Lallouache and D. Challet · 2014
Later among the works it cites.
Discovering latent network structure in point process data
S.L. Linderman and R.P. Adams · 2014
Later among the works it cites.
Linear processes in high-dimension: phase space and critical properties
I. Mastromatteo, E. Bacry, and J.F. Muzy · 2014
Later among the works it cites.
On the hawkes process with different exciting functions
B. Mehrdad and L. Zhu · 2014
Later among the works it cites.
Modeling financial contagion using mutually exciting jump processes
Y.A. Sahalia, J. Cacho-Diaz, and R.J.A. Laeven · 2014
Later among the works it cites.
Ergodicity and scaling limit of a constrained multivariate hawkes process
B. Zheng, Roueff F., and F. Abergel · 2014
Later among the works it cites.
Estimation of slowly decreasing hawkes kernels: Application to high frequency order book modelling
E. Bacry, T. Jaisson, and J.F. Muzy · 2015
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Modelling systemic price cojumps with hawkes factor models
G. Bormetti, L.M. Calcagnile, M. Treccani, F. Corsi, S. Marmi, and F. Lillo · 2015
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Modeling fx market activity around macroeconomic news: a hawkes process approach
M. Rambaldi, P. Pennesi, and F. Lillo · 2015
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Why is equity order flow so persistent?
Bence Tóth, Imon Palit, Fabrizio Lillo, and J. Doyne Farmer · 2015
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