Hawkes Processes in Finance

By Emmanuel Bacry, Iacopo Mastromatteo, Jean-François Muzy. 2015

548 citations recorded by the source corpus.

In this paper we propose an overview of the recent academic literature devoted to the applications of Hawkes processes in finance. Hawkes processes constitute a particular class of multivariate point processes that has become very popular in empirical high-frequency finance this last decade. After a reminder of the main definitions and properties that characterize Hawkes processes, we review their main empirical applications to address many different problems in high-frequency finance. Because of their great flexibility and versatility, we show that they have been successfully involved in issues as diverse as estimating the volatility at the level of transaction data, estimating the market stability, accounting for systemic risk contagion, devising optimal execution strategies or capturing the dynamics of the full order book.

Subfields: Applied Mathematics

View Paper: https://www.semanticscholar.org/paper/5b0b38f77ee412bc5e4df08dcd431c3d6b8b6d04

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In Applied Mathematics

Citations in the corpus

Relational Representation Learning for Dynamic (Knowledge) Graphs: A Survey (2019, methodology): “TPPs have been applied for applications like e-commerce [237], finance [8], etc.”
Process (2020, methodology): “Stock Data: [43] Stock data includes the 11k stock trading information.”
Statistical inference for ergodic point processes and application to Limit Order Book (2015, methodology): “[7] provides a very complete summary of the different applications of Hawkes processes in finance.”
The role of volume in order book dynamics: a multivariate Hawkes process analysis (2016, background): “…arrival in time of a number of event types (trades, quotes, etc.), see for instance Bowsher (2007), Bacry et al. (2013), Filimonov and Sornette (2015), Bormetti et al. (2015), Hardiman et al. (2013), Bauwens and Hautsch (2009), Rambaldi et al. (2015) and Bacry et al. (2015) for a recent review.”
Hawkes processes and their applications to finance: a review (2018, methodology): “In this section 1, it discusses briefly some applications of Hawkes processes in finance, and some theoretical developments, that have been published since the review by Bacry et al. (2015).”