Related papers: Modeling aggressive market order placements with H…
The sporadic large fluctuations are seen in the stock market due to changes in fundamental parameters, technical setups, and external factors. These large fluctuations are termed as Extreme Events (EE). The EEs may be positive or negative…
Many fits of Hawkes processes to financial data look rather good but most of them are not statistically significant. This raises the question of what part of market dynamics this model is able to account for exactly. We document the…
We introduce a model-independent approximation for the branching ratio of Hawkes self-exciting point processes. Our estimator requires knowing only the mean and variance of the event count in a sufficiently large time window, statistics…
The Tick library allows researchers in market microstructure to simulate and learn Hawkes process in high-frequency data, with optimized parametric and non-parametric learners. But one challenge is to take into account the correct causality…
We introduce a multivariate Hawkes process with constraints on its conditional density. It is a multivariate point process with conditional intensity similar to that of a multivariate Hawkes process but certain events are forbidden with…
Dynamic jumps in the price and volatility of an asset are modelled using a joint Hawkes process in conjunction with a bivariate jump diffusion. A state space representation is used to link observed returns, plus nonparametric measures of…
In order to disentangle the internal dynamics from exogenous factors within the Autoregressive Conditional Duration (ACD) model, we present an effective measure of endogeneity. Inspired from the Hawkes model, this measure is defined as the…
We introduce and show the existence of a Hawkes self-exciting point process with exponentially-decreasing kernel and where parameters are time-varying. The quantity of interest is defined as the integrated parameter…
Empirical data reveals that the liquidity flow into the order book (depositions, cancellations andmarket orders) is influenced by past price changes. In particular, we show that liquidity tends todecrease with the amplitude of past…
We introduce a simple framework in which market participants update their prior about an efficient price with a model-based learning process. We show that exponential intensities for the arrival of aggressive orders arise naturally in this…
The Hawks process is a point process with a self-exciting property. It has been used to model earthquakes, social media events, infections, etc., and is getting a lot of attention. However, as a real problem, there are often situations…
An extension of the Hawkes process, the Marked Hawkes process distinguishes itself by featuring variable jump size across each event, in contrast to the constant jump size observed in a Hawkes process without marks. While extensive…
We study a linear price impact model including other liquidity takers, whose flow of orders either follows a Poisson or a Hawkes process. The optimal execution problem is solved explicitly in this context, and the closed-formula optimal…
This paper investigates optimal execution strategies in intraday energy markets through a mutually exciting Hawkes process model. Calibrated to data from the German intraday electricity market, the model effectively captures key empirical…
The Hawkes process, a self-exciting point process, has a wide range of applications in modeling earthquakes, social networks and stock markets. The established estimation process requires that researchers have access to the exact time…
A point process model for order flows in limit order books is proposed, in which the conditional intensity is the product of a Hawkes component and a state-dependent factor. In the LOB context, state observations may include the observed…
We introduce a Hawkes-like process and study its scaling limit as the system becomes increasingly endogenous. We derive functional limit theorems for intensity and fluctuations. Then, we introduce a high-frequency model for a price of a…
It has been suggested that marked point processes might be good candidates for the modelling of financial high-frequency data. A special class of point processes, Hawkes processes, has been the subject of various investigations in the…
The multivariate Hawkes process is a past-dependent point process used to model the relationship of event occurrences between different phenomena.Although the Hawkes process was originally introduced to describe excitation effects, which…
We present a careful analysis of possible issues on the application of the self-excited Hawkes process to high-frequency financial data. We carefully analyze a set of effects leading to significant biases in the estimation of the…