Hawkes processes and their applications to finance: a review

被引：151
作者：
Hawkes, Alan G. [1 ]
机构：
[1] Swansea Univ, Sch Management, Bay Campus,Fabian Way, Swansea SA1 8EN, W Glam, Wales
来源：
QUANTITATIVE FINANCE | 2018年 / 18卷 / 02期
关键词：
POINT; TIME; BEHAVIOR; SPECTRA; EVENTS; RISK;
D O I：
10.1080/14697688.2017.1403131
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
[No abstract available]
引用
收藏
页码：193 / 198
页数：6
相关论文
共 46 条
[1]   Long-Time Behavior of a Hawkes Process-Based Limit Order Book [J].
Abergel, Frederic ;
Jedidi, Aymen .
SIAM JOURNAL ON FINANCIAL MATHEMATICS, 2015, 6 (01) :1026-1043
[2]   Portfolio Choice in Markets with Contagion [J].
Ait-Sahalia, Yacine ;
Hurd, Thomas Robert .
JOURNAL OF FINANCIAL ECONOMETRICS, 2016, 14 (01) :1-28
[3]   Modeling financial contagion using mutually exciting jump processes [J].
Ait-Sahalia, Yacine ;
Cacho-Diaz, Julio ;
Laeven, Roger J. A. .
JOURNAL OF FINANCIAL ECONOMICS, 2015, 117 (03) :585-606
[4]   Mutual excitation in Eurozone sovereign CDS [J].
Ait-Sahalia, Yacine ;
Laeven, Roger J. A. ;
Pelizzon, Loriana .
JOURNAL OF ECONOMETRICS, 2014, 183 (02) :151-167
[5]   Extension and Calibration of a Hawkes-Based Optimal Execution Model [J].
Alfonsi, Aurelien ;
Blanc, Pierre .
MARKET MICROSTRUCTURE AND LIQUIDITY, 2016, 2 (02)
[6]   Dynamic optimal execution in a mixed-market-impact Hawkes price model [J].
Alfonsi, Aurelien ;
Blanc, Pierre .
FINANCE AND STOCHASTICS, 2016, 20 (01) :183-218
[7]  
[Anonymous], 2005, PRINCETON SERIES FIN
[8]  
[Anonymous], 1997, Journal of Empirical Finance
[9]   Modelling microstructure noise with mutually exciting point processes [J].
Bacry, E. ;
Delattre, S. ;
Hoffmann, M. ;
Muzy, J. F. .
QUANTITATIVE FINANCE, 2013, 13 (01) :65-77
[10]   Hawkes Processes in Finance [J].
Bacry, Emmanuel ;
Mastromatteo, Iacopo ;
Muzy, Jean-Francois .
MARKET MICROSTRUCTURE AND LIQUIDITY, 2015, 1 (01)
12345