相关论文: Extension and calibration of a Hawkes-based optima…

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 study proposes a versatile model for the dynamics of the best bid and ask prices using an extended Hawkes process. The model incorporates the zero intensities of the spread-narrowing processes at the minimum bid-ask spread,…

We propose an extension to Hawkes processes by treating the levels of self-excitation as a stochastic differential equation. Our new point process allows better approximation in application domains where events and intensities accelerate…

Targeting a better understanding of credit market dynamics, the authors have studied a stochastic model named the Hawkes process. Describing trades arrival times, this kind of model allows for the capture of self-excitement and mutual…

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…

We study optimal liquidation strategies under partial information for a single asset within a finite time horizon. We propose a model tailored for high-frequency trading, capturing price formation driven solely by order flow through…

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…

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…

We introduce and establish the main properties of QHawkes ("Quadratic" Hawkes) models. QHawkes models generalize the Hawkes price models introduced in E. Bacry et al. (2014), by allowing all feedback effects in the jump intensity that are…

Hawkes processes have seen a number of applications in finance, due to their ability to capture event clustering behaviour typically observed in financial systems. Given a calibrated Hawkes process, of concern is the statistical fit to…

Hawkes process provides an effective statistical framework for analyzing the time-dependent interaction of neuronal spiking activities. Although utilized in many real applications, the classic Hawkes process is incapable of modelling…

In this paper, we present a maximum likelihood method for estimating the parameters of a univariate Hawkes process with self-excitation or inhibition. Our work generalizes techniques and results that were restricted to the self-exciting…

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 present a modified version of the non parametric Hawkes kernel estimation procedure studied in arXiv:1401.0903 that is adapted to slowly decreasing kernels. We show on numerical simulations involving a reasonable number of events that…

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…

We model the arrival of mid-price changes in the E-Mini S&P futures contract as a self-exciting Hawkes process. Using several estimation methods, we find that the Hawkes kernel is power-law with a decay exponent close to -1.15 at short…

The extent to which a matching engine can cloud the modelling of underlying order submission and management processes in a financial market remains an unanswered concern with regards to market models. Here we consider a 10-variate Hawkes…

The Hawkes process and its extensions effectively model self-excitatory phenomena including earthquakes, viral pandemics, financial transactions, neural spike trains and the spread of memes through social networks. The usefulness of these…

Quadratic Hawkes (QHawkes) processes have proved effective at reproducing the statistics of price changes, capturing many of the stylised facts of financial markets. Motivated by the recently reported strong occurrence of endogenous…

The Hawkes model is a past-dependent point process, widely used in various fields for modeling temporal clustering of events. Extending this framework, the multidimensional marked Hawkes process incorporates multiple interacting event types…