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Quadratic Hawkes processes for financial prices
16 references·3 citing·45 second hopsampled
Quadratic Hawkes processes for financial prices (2016)Quadratic Hawkes processes for financial …Volatility Is Rough (2018)Volatility Is RoughHawkes Processes in Finance (2015)Hawkes Processes in FinanceHawkes model for price and trades high-frequency dynamics (2014)Hawkes model for price and tr…Modelling microstructure noise with mutually exciting point processes (2012)Modelling microstructure nois…The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes (2008)The Pearson Diffusions: A Cla…Minority Games: Interacting agents in financial markets (2004)Minority Games: Interacting a…Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development (2004)Long-term memories of develop…Scaling of the distribution of price fluctuations of individual companies (1999)Scaling of the distribution o…Scaling of the distribution of fluctuations of financial market indices (1999)Scaling of the distribution o…”Direct” causal cascade in the stock market (1998)”Direct” causal cascade in th…Volatilities of different time resolutions — Analyzing the dynamics of market components (1997)Volatilities of different tim…Time Irreversibility and Business Cycle Asymmetry (1996)Time Irreversibility and Busi…Quadratic ARCH Models (1995)Quadratic ARCH ModelsA Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Stock Price Distributions with Stochastic Volatility: An Analytic Approach (1991)Stock Price Distributions wit…An Intertemporal General Equilibrium Model of Asset Prices (1985)An Intertemporal General Equi…Volatility Is (Mostly) Path-Dependent (2022)Volatility Is (Mostly) Path-D…From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect (2021)From quadratic Hawkes process…The Zumbach effect under rough Heston (2019)The Zumbach effect under roug…A Theory of the Term Structure of Interest Rates (1985)Measuring the Information Content of Stock Trades (1991)Hawkes processes and their applications to finance: a review (2017)The microstructural foundations of leverage effect and rough volatility (2018)Stock Selection via Spatiotemporal Hypergraph Attention Network: A Learning to Rank Approach (2021)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Asset Prices in an Exchange Economy (1978)Efficient Capital Markets: II (1991)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Measuring and Testing the Impact of News on Volatility (1993)A test for volatility spillover with application to exchange rates (2001)Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements (2003)The risk return tradeoff in the long run: 1836–2003 (2007)Generalized autoregressive conditional heteroskedasticity (1986)A long memory property of stock market returns and a new model (1993)From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (1997)Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns (1997)Realized Volatility: A Review (2008)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)Human behavior and the principle of least effort (1949)The Variation of Certain Speculative Prices (1963)The variation of certain speculative prices (1997)Multi-scaling in finance (2007)Approaching complexity by stochastic methods: From biological systems to turbulence (2011)Multifractal analysis of financial markets: a review (2019)Introduction to Econophysics (1999)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Power Laws in Economics and Finance (2008)Physical approach to complex systems (2012)Power Laws in Economics: An Introduction (2016)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Institutional Investors and Stock Market Volatility (2006)Cross-correlations between volume change and price change (2009)Fractional Brownian Motions, Fractional Noises and Applications (1968)Modeling and Forecasting Realized Volatility (2003)Pricing under rough volatility (2015)The characteristic function of rough Heston models (2019)THE GARCH OPTION PRICING MODEL (1995)5 Stochastic volatility (1996)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1985An Intertemporal General Equilibrium Model of Asset Prices2,052 cited
  • 1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach1,507 cited
  • 1999Scaling of the distribution of fluctuations of financial market indices893 cited
  • 2018Volatility Is Rough793 cited
  • 1997Volatilities of different time resolutions — Analyzing the dynamics of market components745 cited
  • 1995Quadratic ARCH Models559 cited
  • 1999Scaling of the distribution of price fluctuations of individual companies539 cited
  • 2015Hawkes Processes in Finance459 cited
  • 2004Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development430 cited
  • 2012Modelling microstructure noise with mutually exciting point processes304 cited
  • 1996Time Irreversibility and Business Cycle Asymmetry259 cited
  • 1998”Direct” causal cascade in the stock market239 cited
  • 2004Minority Games: Interacting agents in financial markets222 cited
  • 2014Hawkes model for price and trades high-frequency dynamics

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189 cited
  • 2008The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes181 cited
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    • 2022Volatility Is (Mostly) Path-Dependent78 cited
    • 2021From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect28 cited
    • 2019The Zumbach effect under rough Heston24 cited