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Hawkes Processes in Finance
7 references·16 citing·46 second hopsampled
Hawkes Processes in Finance (2015)Hawkes Processes in FinanceModeling financial contagion using mutually exciting jump processes (2015)Modeling financial contagion …Affine processes and applications in finance (2003)Affine processes and applicat…Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Autoregressive Conditional Du…An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)An Empirical Analysis of the …A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Measuring the Information Content of Stock Trades (1991)Measuring the Information Con…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Stock Selection via Spatiotemporal Hypergraph Attention Network: A Learning to Rank Approach (2021)Stock Selection via Spatiotem…State-dependent Hawkes processes and their application to limit order book modelling (2021)State-dependent Hawkes proces…Hierarchical Adaptive Temporal-Relational Modeling for Stock Trend Prediction (2021)Hierarchical Adaptive Tempora…No‐arbitrage implies power‐law market impact and rough volatility (2020)No‐arbitrage implies power‐la…Multivariate Hawkes process for cyber insurance (2020)Multivariate Hawkes process f…Affine forward variance models (2019)Affine forward variance modelsThe microstructural foundations of leverage effect and rough volatility (2018)The microstructural foundatio…High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration (2018)High-dimensional Hawkes proce…Functional central limit theorems for stationary Hawkes processes and application to infinite-server queues (2018)Functional central limit theo…A General Framework for Time-Changed Markov Processes and Applications (2018)A General Framework for Time-…A branching process approach to power markets (2018)A branching process approach …Hawkes processes and their applications to finance: a review (2017)Hawkes processes and their ap…Asymmetries in financial returns (2017)Asymmetries in financial retu…The role of volume in order book dynamics: a multivariate Hawkes process analysis (2016)The role of volume in order b…Quadratic Hawkes processes for financial prices (2016)Quadratic Hawkes processes fo…Market Impacts and the Life Cycle of Investors Orders (2015)Market Impacts and the Life C…The Pricing of Options and Corporate Liabilities (1973)Arbitrage Theory in Continuous Time (2004)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)Affine Term Structure Models (2010)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Continuous Auctions and Insider Trading (1985)Generalized autoregressive conditional heteroskedasticity (1986)Forecasting Volatility in Financial Markets: A Review (2003)Analysis of Financial Time Series (2006)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Theory of Rational Option Pricing (1973)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)The theory and practice of econometrics (1986)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Does Algorithmic Trading Improve Liquidity? 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(1993)Theory of rational option pricing (2005)The Sharpe Ratio (1994)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Wikidata (2014)Data-driven stock forecasting models based on neural networks: A review (2024)MASTER: Market-Guided Stock Transformer for Stock Price Forecasting (2024)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
  • 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse1,151 cited
  • 2003Affine processes and applications in finance1,044 cited
  • 2015Modeling financial contagion using mutually exciting jump processes576 cited

Cited by

  • 2017Hawkes processes and their applications to finance: a review233 cited
  • 2018The microstructural foundations of leverage effect and rough volatility154 cited
  • 2021Stock Selection via Spatiotemporal Hypergraph Attention Network: A Learning to Rank Approach154 cited
  • 2016Quadratic Hawkes processes for financial prices95 cited
  • 2015Market Impacts and the Life Cycle of Investors Orders89 cited
  • 2021Hierarchical Adaptive Temporal-Relational Modeling for Stock Trend Prediction84 cited
  • 2016The role of volume in order book dynamics: a multivariate Hawkes process analysis73 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2018Functional central limit theorems for stationary Hawkes processes and application to infinite-server queues66 cited
  • 2021State-dependent Hawkes processes and their application to limit order book modelling64 cited
  • 2018High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration63 cited
  • 2019Affine forward variance models62 cited
  • 2020No‐arbitrage implies power‐law market impact and rough volatility62 cited
  • 2020Multivariate Hawkes process for cyber insurance60 cited
  • 2018A General Framework for Time-Changed Markov Processes and Applications53 cited
  • 2017Asymmetries in financial returns48 cited
  • 2018A branching process approach to power markets48 cited