Articlegreen2015

The limits of statistical significance of Hawkes processes fitted to financial data

45 citations0/0 files storedQuantitative Finance

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Stochastic processes and financial applications Complex Systems and Time Series Analysis Point processes and geometric inequalities

Abstract

Hawkes processes are a natural extension of Poisson processes in which self-excitation causes event clustering (Hawkes 1971a, b). Originally applied to the modelling of earthquake occurrences (Ogat...

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References

1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data 1988What Moves Stock Prices?2008Robust dynamic classes revealed by measuring the response function of a social system 1993A geographical model for the daily and weekly seasonal volatility in the foreign exchange market 2007Modelling security market events in continuous time: Intensity based, multivariate point process models 2010Affine Point Processes and Portfolio Credit Risk 2012Modelling microstructure noise with mutually exciting point processes 2006Measuring the resiliency of an electronic limit order book

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2014An Agent-Based Model for Financial Vulnerability 2017Hawkes process model with a time-dependent background rate and its application to high-frequency financial data 2021A self‐exciting modeling framework for forward prices in power markets

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