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First- and Second-Order Statistics Characterization of Hawkes Processes and Non-Parametric Estimation
5 references·5 citing·43 second hop
First- and Second-Order Statistics Characterization of Hawkes Processes and Non-Parametric Estimation (2016)First- and Second-Order Statistics Charac…Hawkes model for price and trades high-frequency dynamics (2014)Hawkes model for price and tr…Non-parametric kernel estimation for symmetric Hawkes processes. Application to high frequency financial data (2012)Non-parametric kernel estimat…Modelling microstructure noise with mutually exciting point processes (2012)Modelling microstructure nois…Modelling Financial High Frequency Data Using Point Processes (2009)Modelling Financial High Freq…Robust dynamic classes revealed by measuring the response function of a social system (2008)Robust dynamic classes reveal…State-dependent Hawkes processes and their application to limit order book modelling (2021)State-dependent Hawkes proces…No‐arbitrage implies power‐law market impact and rough volatility (2020)No‐arbitrage implies power‐la…Detecting Changes in Dynamic Events Over Networks (2017)Detecting Changes in Dynamic …The role of volume in order book dynamics: a multivariate Hawkes process analysis (2016)The role of volume in order b…Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics (2016)Estimation of slowly decreasi…A Dynamic Model of the Limit Order Book (2009)How Markets Slowly Digest Changes in Supply and Demand (2009)Modeling financial contagion using mutually exciting jump processes (2015)High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration (2018)Statistics for Long-Memory Processes. (1996)The origin of bursts and heavy tails in human dynamics (2005)The long tail: why the future of business is selling less of more (2007)Predicting information credibility in time-sensitive social media (2013)Physics and financial economics (1776–2014): puzzles, Ising and agent-based models (2014)Critical market crashes (2003)Modelling security market events in continuous time: Intensity based, multivariate point process models (2007)Critical reflexivity in financial markets: a Hawkes process analysis (2013)Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes (2016)The microstructural foundations of leverage effect and rough volatility (2018)Continuous Auctions and Insider Trading (1985)The predictive power of zero intelligence in financial markets (2005)Limit theorems for nearly unstable Hawkes processes (2013)Limit theorems for nearly unstable Hawkes processes (2015)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Measuring and Testing the Impact of News on Volatility (1993)Econometrics of Financial High-Frequency Data (2011)Quantifying reflexivity in financial markets: Toward a prediction of flash crashes (2012)Harnessing jump component for crude oil volatility forecasting in the presence of extreme shocks (2019)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Limit Theorems for Stochastic Processes (2003)Some limit theorems for Hawkes processes and application to financial statistics (2013)The characteristic function of rough Heston models (2019)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Price, trade size, and information in securities markets (1987)Optimal execution of portfolio transactions (2001)A Stochastic Model for Order Book Dynamics (2010)Volatility Is Rough (2018)From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect (2021)Point Processes and Queues (1981)Is market fragmentation harming market quality? (2011)Economic Control of Quality of Manufactured Product. (1932)CONTINUOUS INSPECTION SCHEMES (1954)On Optimum Methods in Quickest Detection Problems (1963)Sequential Change-Point Detection via Online Convex Optimization (2018)Multivariate time-between-events monitoring: An overview and some overlooked underlying complexities (2020)Enhancing the detection power of multivariate time between events control charts for Gumbel’s bivariate exponential distribution (2022)
this work references cited by second hop

References

  • 2008Robust dynamic classes revealed by measuring the response function of a social system788 cited
  • 2012Modelling microstructure noise with mutually exciting point processes304 cited
  • 2014Hawkes model for price and trades high-frequency dynamics189 cited
  • 2009Modelling Financial High Frequency Data Using Point Processes184 cited
  • 2012Non-parametric kernel estimation for symmetric Hawkes processes. Application to high frequency financial data178 cited

Cited by

  • 2016Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics106 cited
  • 2016The role of volume in order book dynamics: a multivariate Hawkes process analysis73 cited
  • 2021State-dependent Hawkes processes and their application to limit order book modelling64 cited
  • 2020No‐arbitrage implies power‐law market impact and rough volatility62 cited
  • 2017Detecting Changes in Dynamic Events Over Networks41 cited

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