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Limit theorems for nearly unstable Hawkes processes

Citations

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Cited by:

  1. Fabio Baschetti & Giacomo Bormetti & Silvia Romagnoli & Pietro Rossi, 2020. "The SINC way: A fast and accurate approach to Fourier pricing," Papers 2009.00557, arXiv.org, revised May 2021.
  2. Angelos Dassios & Jiwook Jang & Hongbiao Zhao, 2019. "A Generalised CIR Process with Externally-Exciting and Self-Exciting Jumps and Its Applications in Insurance and Finance," Risks, MDPI, vol. 7(4), pages 1-18, October.
  3. Xuefeng Gao & Xiang Zhou & Lingjiong Zhu, 2017. "Transform Analysis for Hawkes Processes with Applications in Dark Pool Trading," Papers 1710.01452, arXiv.org.
  4. Mehdi Tomas & Mathieu Rosenbaum, 2019. "From microscopic price dynamics to multidimensional rough volatility models," Papers 1910.13338, arXiv.org, revised Oct 2019.
  5. Omar Euch & Masaaki Fukasawa & Mathieu Rosenbaum, 2018. "The microstructural foundations of leverage effect and rough volatility," Finance and Stochastics, Springer, vol. 22(2), pages 241-280, April.
  6. Li, Bo & Pang, Guodong, 2022. "Functional limit theorems for nonstationary marked Hawkes processes in the high intensity regime," Stochastic Processes and their Applications, Elsevier, vol. 143(C), pages 285-339.
  7. Lee, Kyungsub & Seo, Byoung Ki, 2017. "Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data," Journal of Economic Dynamics and Control, Elsevier, vol. 79(C), pages 154-183.
  8. Hainaut, Donatien, 2023. "A mutually exciting rough jump diffusion for financial modelling," LIDAM Discussion Papers ISBA 2023011, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  9. Ulrich Horst & Wei Xu, 2019. "Functional Limit Theorems for Marked Hawkes Point Measures ," Working Papers hal-02443841, HAL.
  10. Bruno Durin & Mathieu Rosenbaum & Gr'egoire Szymanski, 2023. "The two square root laws of market impact and the role of sophisticated market participants," Papers 2311.18283, arXiv.org.
  11. Hamza Bodor & Laurent Carlier, 2024. "Stylized Facts and Market Microstructure: An In-Depth Exploration of German Bond Futures Market," Papers 2401.10722, arXiv.org.
  12. Ying Jiao & Chunhua Ma & Simone Scotti, 2016. "Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling," Working Papers hal-01275397, HAL.
  13. Gao, Fuqing & Zhu, Lingjiong, 2018. "Some asymptotic results for nonlinear Hawkes processes," Stochastic Processes and their Applications, Elsevier, vol. 128(12), pages 4051-4077.
  14. Ying Jiao & Chunhua Ma & Simone Scotti, 2017. "Alpha-CIR model with branching processes in sovereign interest rate modeling," Finance and Stochastics, Springer, vol. 21(3), pages 789-813, July.
  15. Guanxing Fu & Ulrich Horst & Xiaonyu Xia, 2020. "Portfolio Liquidation Games with Self-Exciting Order Flow," Papers 2011.05589, arXiv.org.
  16. Aurélien Alfonsi & Pierre Blanc, 2016. "Dynamic optimal execution in a mixed-market-impact Hawkes price model," Finance and Stochastics, Springer, vol. 20(1), pages 183-218, January.
  17. Aur'elien Alfonsi & Pierre Blanc, 2014. "Dynamic optimal execution in a mixed-market-impact Hawkes price model," Papers 1404.0648, arXiv.org, revised Jun 2015.
  18. Simon Clinet & Yoann Potiron, 2016. "Statistical inference for the doubly stochastic self-exciting process," Papers 1607.05831, arXiv.org, revised Jun 2017.
  19. Yang Lu, 2020. "A simple parameter‐driven binary time series model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 187-199, March.
  20. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2020. "Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events," Working Papers hal-02998555, HAL.
  21. Gao, Xuefeng & Zhu, Lingjiong, 2018. "Limit theorems for Markovian Hawkes processes with a large initial intensity," Stochastic Processes and their Applications, Elsevier, vol. 128(11), pages 3807-3839.
  22. Ulrich Horst & Wei Xu & Rouyi Zhang, 2023. "Convergence of Heavy-Tailed Hawkes Processes and the Microstructure of Rough Volatility," Papers 2312.08784, arXiv.org.
  23. Da Fonseca, José & Malevergne, Yannick, 2021. "A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy," Journal of Economic Dynamics and Control, Elsevier, vol. 128(C).
  24. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2021. "Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events," Post-Print hal-02998555, HAL.
  25. Omar El Euch & Mathieu Rosenbaum, 2016. "The characteristic function of rough Heston models," Papers 1609.02108, arXiv.org.
  26. Leunga Njike, Charles Guy & Hainaut, Donatien, 2024. "Affine Heston model style with self-exciting jumps and long memory," LIDAM Discussion Papers ISBA 2024001, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  27. Ulrich Horst & Wei Xu, 2019. "The Microstructure of Stochastic Volatility Models with Self-Exciting Jump Dynamics," Papers 1911.12969, arXiv.org.
  28. Seol, Youngsoo, 2017. "Limit theorems for the compensator of Hawkes processes," Statistics & Probability Letters, Elsevier, vol. 127(C), pages 165-172.
  29. Jim Gatheral & Martin Keller-Ressel, 2018. "Affine forward variance models," Papers 1801.06416, arXiv.org, revised Oct 2018.
  30. Ying Jiao & Chunhua Ma & Simone Scotti, 2017. "Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling," Post-Print hal-01275397, HAL.
  31. Bastien Baldacci, 2020. "High-frequency dynamics of the implied volatility surface," Papers 2012.10875, arXiv.org.
  32. Youngsoo Seol, 2023. "Large Deviations for Hawkes Processes with Randomized Baseline Intensity," Mathematics, MDPI, vol. 11(8), pages 1-10, April.
  33. Jonathan A. Ch'avez-Casillas, 2023. "A time-dependent Markovian model of a limit order book," Papers 2302.00846, arXiv.org.
  34. Abootaleb Shirvani & Stoyan V. Stoyanov & Svetlozar T. Rachev & Frank J. Fabozzi, 2016. "A New Set of Financial Instruments," Papers 1612.00828, arXiv.org, revised Oct 2019.
  35. Fu, Guanxing & Horst, Ulrich & Xia, Xiaonyu, 2022. "Portfolio Liquidation Games with Self-Exciting Order Flow," Rationality and Competition Discussion Paper Series 327, CRC TRR 190 Rationality and Competition.
  36. Hainaut, Donatien & Goutte, Stephane, 2018. "A switching microstructure model for stock prices," LIDAM Discussion Papers ISBA 2018014, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  37. Seol, Youngsoo, 2019. "Limit theorems for an inverse Markovian Hawkes process," Statistics & Probability Letters, Elsevier, vol. 155(C), pages 1-1.
  38. Dassios, Angelos & Jang, Jiwook & Zhao, Hongbiao, 2019. "A generalised CIR process with externally-exciting and self-exciting jumps and its applications in insurance and finance," LSE Research Online Documents on Economics 102043, London School of Economics and Political Science, LSE Library.
  39. Thibault Jaisson & Mathieu Rosenbaum, 2015. "Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes," Papers 1504.03100, arXiv.org.
  40. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2020. "Endogenous Liquidity Crises," Working Papers hal-02567495, HAL.
  41. Wang, Haixu, 2022. "Limit theorems for a discrete-time marked Hawkes process," Statistics & Probability Letters, Elsevier, vol. 184(C).
  42. Paul Jusselin & Mathieu Rosenbaum, 2020. "No‐arbitrage implies power‐law market impact and rough volatility," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1309-1336, October.
  43. Aurélien Alfonsi & Pierre Blanc, 2016. "Dynamic optimal execution in a mixed-market-impact Hawkes price model," Finance and Stochastics, Springer, vol. 20(1), pages 183-218, January.
  44. Raviar Karim & Roger J. A. Laeven & Michel Mandjes, 2021. "Exact and Asymptotic Analysis of General Multivariate Hawkes Processes and Induced Population Processes," Papers 2106.03560, arXiv.org.
  45. Thibault Jaisson, 2015. "Market impact as anticipation of the order flow imbalance," Quantitative Finance, Taylor & Francis Journals, vol. 15(7), pages 1123-1135, July.
  46. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2020. "Endogenous Liquidity Crises," Post-Print hal-02567495, HAL.
  47. Emmanuel Bacry & Thibault Jaisson & Jean-Francois Muzy, 2014. "Estimation of slowly decreasing Hawkes kernels: Application to high frequency order book modelling," Papers 1412.7096, arXiv.org.
  48. Ulrich Horst & Wei Xu, 2017. "A Scaling Limit for Limit Order Books Driven by Hawkes Processes," Papers 1709.01292, arXiv.org, revised Aug 2018.
  49. Charlotte Dion & Sarah Lemler, 2020. "Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process," Statistical Inference for Stochastic Processes, Springer, vol. 23(3), pages 489-515, October.
  50. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2019. "Endogenous Liquidity Crises," Papers 1912.00359, arXiv.org, revised Feb 2020.
  51. Heidar Eyjolfsson & Dag Tjøstheim, 2018. "Self-exciting jump processes with applications to energy markets," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 70(2), pages 373-393, April.
  52. Jim Gatheral & Martin Keller-Ressel, 2019. "Affine forward variance models," Finance and Stochastics, Springer, vol. 23(3), pages 501-533, July.
  53. Thibault Jaisson, 2014. "Market impact as anticipation of the order flow imbalance," Papers 1402.1288, arXiv.org.
  54. Ulrich Horst & Dörte Kreher, 2018. "Second order approximations for limit order books," Finance and Stochastics, Springer, vol. 22(4), pages 827-877, October.
  55. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2020. "Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events," Papers 2005.05730, arXiv.org.
  56. Paul Jusselin & Mathieu Rosenbaum, 2018. "No-arbitrage implies power-law market impact and rough volatility," Papers 1805.07134, arXiv.org.
  57. Guanxing Fu & Ulrich Horst & Xiaonyu Xia, 2022. "Portfolio liquidation games with self‐exciting order flow," Mathematical Finance, Wiley Blackwell, vol. 32(4), pages 1020-1065, October.
  58. Ying Jiao & Chunhua Ma & Simone Scotti & Chao Zhou, 2021. "The Alpha‐Heston stochastic volatility model," Mathematical Finance, Wiley Blackwell, vol. 31(3), pages 943-978, July.
  59. Ulrich Horst & Wei Xu, 2024. "Functional Limit Theorems for Hawkes Processes," Papers 2401.11495, arXiv.org.
  60. Ying Jiao & Chunhua Ma & Simone Scotti, 2016. "Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling," Papers 1602.05541, arXiv.org, revised Feb 2016.
  61. Xuefeng Gao & Lingjiong Zhu, 2018. "Functional central limit theorems for stationary Hawkes processes and application to infinite-server queues," Queueing Systems: Theory and Applications, Springer, vol. 90(1), pages 161-206, October.
  62. Jonathan A. Chávez Casillas, 2024. "A Time-Dependent Markovian Model of a Limit Order Book," Computational Economics, Springer;Society for Computational Economics, vol. 63(2), pages 679-709, February.
  63. Ying Jiao & Chunhua Ma & Simone Scotti & Chao Zhou, 2018. "The Alpha-Heston Stochastic Volatility Model," Papers 1812.01914, arXiv.org.
  64. El Euch Omar & Fukasawa Masaaki & Rosenbaum Mathieu, 2016. "The microstructural foundations of leverage effect and rough volatility," Papers 1609.05177, arXiv.org.
  65. Horst, Ulrich & Xu, Wei, 2021. "Functional limit theorems for marked Hawkes point measures," Stochastic Processes and their Applications, Elsevier, vol. 134(C), pages 94-131.
  66. Hainaut, Donatien & Chen, Maggie & Scalas, Enrico, 2023. "The rough Hawkes process," LIDAM Discussion Papers ISBA 2023007, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  67. Youngsoo Seol, 2022. "Non-Markovian Inverse Hawkes Processes," Mathematics, MDPI, vol. 10(9), pages 1-12, April.
  68. Aditi Dandapani & Paul Jusselin & Mathieu Rosenbaum, 2019. "From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect," Papers 1907.06151, arXiv.org, revised Jan 2021.
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