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Hawkes model for price and trades high-frequency dynamics
12 references·14 citing·43 second hop
Hawkes model for price and trades high-frequency dynamics (2014)Hawkes model for price and trades high-fr…The Price Impact of Order Book Events (2013)The Price Impact of Order Boo…Some limit theorems for Hawkes processes and application to financial statistics (2013)Some limit theorems for Hawke…Modelling microstructure noise with mutually exciting point processes (2012)Modelling microstructure nois…No-dynamic-arbitrage and market impact (2010)No-dynamic-arbitrage and mark…Market impact and trading profile of hidden orders in stock markets (2009)Market impact and trading pro…How Markets Slowly Digest Changes in Supply and Demand (2009)How Markets Slowly Digest Cha…Measuring the resiliency of an electronic limit order book (2006)Measuring the resiliency of a…The predictive power of zero intelligence in financial markets (2005)The predictive power of zero …The Long Memory of the Efficient Market (2004)The Long Memory of the Effici…Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes (2004)Fluctuations and response in …Statistical theory of the continuous double auction (2003)Statistical theory of the con…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…State-dependent Hawkes processes and their application to limit order book modelling (2021)State-dependent Hawkes proces…High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration (2018)High-dimensional Hawkes proce…Applications of a Multivariate Hawkes Process to Joint Modeling of Sentiment and Market Return Events (2017)Applications of a Multivariat…Quadratic Hawkes processes for financial prices (2016)Quadratic Hawkes processes fo…First- and Second-Order Statistics Characterization of Hawkes Processes and Non-Parametric Estimation (2016)First- and Second-Order Stati…Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics (2016)Estimation of slowly decreasi…The limits of statistical significance of Hawkes processes fitted to financial data (2015)The limits of statistical sig…Semi-Markov Model for Market Microstructure (2015)Semi-Markov Model for Market …Market impact as anticipation of the order flow imbalance (2015)Market impact as anticipation…Limit theorems for nearly unstable Hawkes processes (2015)Limit theorems for nearly uns…High Frequency Trading and Asymptotics for Small Risk Aversion in a Markov Renewal Model (2015)High Frequency Trading and As…Dynamic optimal execution in a mixed-market-impact Hawkes price model (2015)Dynamic optimal execution in …Trade arrival dynamics and quote imbalance in a limit order book (2013)Trade arrival dynamics and qu…Limit theorems for nearly unstable Hawkes processes (2013)Limit theorems for nearly uns…Time and the Process of Security Price Adjustment (1992)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Liquidity Cycles and Make/Take Fees in Electronic Markets (2012)Quantifying reflexivity in financial markets: Toward a prediction of flash crashes (2012)Hawkes processes and their applications to finance: a review (2017)Fractional Brownian Motions, Fractional Noises and Applications (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)On Hurst exponent estimation under heavy-tailed distributions (2010)Correlation of financial markets in times of crisis (2011)Econophysics review: I. Empirical facts (2011)The Econometrics of Financial Markets (2012)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Power Laws in Economics and Finance (2008)Power Laws in Economics: An Introduction (2016)Gain, Loss, and Asset Pricing (2000)Limit order books (2013)Stability analysis of financial contagion due to overlapping portfolios (2014)Active Portfolio Management (2017)Théorie de la spéculation (1900)Introduction to Econophysics (1999)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)More statistical properties of order books and price impact (2003)Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes (2004)What really causes large price changes? (2004)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Statistics for Long-Memory Processes. (1996)Multifractal analysis of financial markets: a review (2019)Agent-Based Modeling in Economics and Finance: Past, Present, and Future (2025)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Limit Theorems for Stochastic Processes (2003)The characteristic function of rough Heston models (2019)The Relation Between Price Changes and Trading Volume: A Survey (1987)Inferring Trade Direction from Intraday Data (1991)Price Discovery without Trading: Evidence from Limit Orders (2019)Universal features of price formation in financial markets: perspectives from deep learning (2019)Universal features of price formation in financial markets: perspectives from deep learning (2021)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Inefficient Markets (2000)Empirical properties of asset returns: stylized facts and statistical issues (2001)An empirical behavioral model of liquidity and volatility (2007)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 2005The predictive power of zero intelligence in financial markets452 cited
  • 2009How Markets Slowly Digest Changes in Supply and Demand442 cited
  • 2010No-dynamic-arbitrage and market impact402 cited
  • 2004Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes370 cited
  • 2004The Long Memory of the Efficient Market365 cited
  • 2003Statistical theory of the continuous double auction349 cited
  • 2013The Price Impact of Order Book Events348 cited
  • 2012Modelling microstructure noise with mutually exciting point processes304 cited
  • 2006Measuring the resiliency of an electronic limit order book279 cited
  • 2013Some limit theorems for Hawkes processes and application to financial statistics248 cited
  • 2009Market impact and trading profile of hidden orders in stock markets219 cited

Cited by

  • 2015Limit theorems for nearly unstable Hawkes processes127 cited
  • 2016First- and Second-Order Statistics Characterization of Hawkes Processes and Non-Parametric Estimation124 cited
  • 2013Limit theorems for nearly unstable Hawkes processes

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121 cited
  • 2016Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics106 cited
  • 2016Quadratic Hawkes processes for financial prices95 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
  • 2015Dynamic optimal execution in a mixed-market-impact Hawkes price model62 cited
  • 2015The limits of statistical significance of Hawkes processes fitted to financial data45 cited
  • 2015High Frequency Trading and Asymptotics for Small Risk Aversion in a Markov Renewal Model36 cited
  • 2017Applications of a Multivariate Hawkes Process to Joint Modeling of Sentiment and Market Return Events33 cited
  • 2013Trade arrival dynamics and quote imbalance in a limit order book31 cited
  • 2015Semi-Markov Model for Market Microstructure30 cited
  • 2015Market impact as anticipation of the order flow imbalance29 cited