Hawkes processes and their applications to finance: a review

2017-12-19articleQuantitative Finance233 citationsclosed

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Stochastic processes and financial applications Point processes and geometric inequalities Probability and Risk Models

Abstract

Hawkes (1971a, 1971b, 1972) introduced a family of models for stochastic point processes called ‘self-exciting and mutually exciting point processes’ the essential property of which was that the oc...

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References

2015Modeling financial contagion using mutually exciting jump processes

2015Hawkes Processes in Finance

2007Modelling security market events in continuous time: Intensity based, multivariate point process models

2012Modelling microstructure noise with mutually exciting point processes

2006Measuring the resiliency of an electronic limit order book

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