Multivariate Hawkes processes: an application to financial data

By Paul Embrechts, T. Liniger, Luan Lin. Journal of Applied Probability, 2011

329 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/440d228c4ee2a52a1564738105867f50c8bea733

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In Applied Mathematics

Citations in the corpus

Ergodicity and scaling limit of a constrained multivariate Hawkes process (2013, positive): “[21] apply marked multivariate Hawkes process to model the daily financial data.”
Modelling Time Series Extremes (2012, methodology): “The use of self-exciting process models for clustering of extreme events in financial time series is described by Chavez-Demoulin et al. (2005) and Embrechts et al. (2011).”
Exact simulation of Hawkes process with exponentially decaying intensity (2013, background): “It is also straightforward to implement, and can easily extend to multi-dimensional versions, for further applications in modelling contagion risk or clustering arrival of events in finance, insurance, economics and many other fields.”
Hawkes model for price and trades high-frequency dynamics (2013, background): “…in high-frequency finance from the famous ‘zero-intelligence’ order-book models Smith et al. (2003), Farmer et al. (2005) to models for trade Hewlett (2006), Large (2007), Bauwens and Hautsch (2009) or book events Muni Toke (2011), Embrechts et al. (2011), Cont et al. (2014) irregular arrivals.”
Some limit theorems for Hawkes processes and application to financial statistics (2013, background): “The importance of mutually exciting processes has expanded in financial econometrics over the last years; see [3,10,14,20] among others.”
Scaling limits for Hawkes processes and application to financial statistics (2012, neutral): “…7641 and École Polytechnique, 91128 Palaiseau, France †Université Paris Diderot and LPMA CNRS-UMR 7599, Bôıte courrier 7012 75251 Paris, France ‡ENSAE-CREST and LAMA CNRS-UMR 8050, 3, avenue Pierre Larousse, 92245 Malakoff, France §SPE CNRS-UMR 6134 and Université de Corte, 20250 Corte, France”
Hawkes Processes in Finance (2015, methodology): “In the special case of a Hawkes processes with exponential kernel, a useful result is obtained by Errais et al. (2010) by exploiting Dynkin's formula for the couple ðN ; Þ in the marked framework described in Sec.”
Non-parametric kernel estimation for symmetric Hawkes processes. Application to high frequency financial data (2011, background): “Applications can be found in the field of order arrival rate modeling [16,7,29], noise microstructure dynamics [2], volatility clustering [11], extreme values and VaR estimation [8] and credit modeling [12].”
Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes (2015, methodology): “In the last years, the probabilistic and statistical analysis of Hawkes processes has known several interesting developments, driven by the recent use of Hawkes processes in various applied fields such as neurosciences [13, 33, 34, 36], sociology [9, 28, 41], criminology [30, 31], genome analysis [3”
Limit theorems for nearly unstable Hawkes processes (2013, background): “Note that besides microstruture problems, Hawkes processes have also been introduced in the study of other financial issues such as daily data analysis, see [17], financial contagion, see [2], or credit risk, see [18].”