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Editorial A Tribute to Professor Geoffrey Alan Hawkes (19 September 1938–9 November 2023)

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  • Jing Chen

    (Chair in Financial Mathematics)

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  • Jing Chen, 2025. "Editorial A Tribute to Professor Geoffrey Alan Hawkes (19 September 1938–9 November 2023)," Journal of Agricultural, Biological and Environmental Statistics, Springer;The International Biometric Society;American Statistical Association, vol. 30(1), pages 1-7, March.
    • Handle: RePEc:spr:jagbes:v:30:y:2025:i:1:d:10.1007_s13253-024-00661-7
    DOI: 10.1007/s13253-024-00661-7
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    References listed on IDEAS

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    1. Stephen J. Hardiman & Nicolas Bercot & Jean-Philippe Bouchaud, 2013. "Critical reflexivity in financial markets: a Hawkes process analysis," Papers 1302.1405, arXiv.org, revised Jun 2013.
    2. Xiaofei Lu & Frédéric Abergel, 2018. "High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration," Quantitative Finance, Taylor & Francis Journals, vol. 18(2), pages 249-264, February.
    3. Yosihiko Ogata, 1998. "Space-Time Point-Process Models for Earthquake Occurrences," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 50(2), pages 379-402, June.
    4. Bowsher, Clive G., 2007. "Modelling security market events in continuous time: Intensity based, multivariate point process models," Journal of Econometrics, Elsevier, vol. 141(2), pages 876-912, December.
    5. Jing Chen & Nick Taylor & Steve Yang & Qian Han, 2022. "Hawkes processes in finance: market structure and impact," The European Journal of Finance, Taylor & Francis Journals, vol. 28(7), pages 621-626, May.
    6. Lucio Maria Calcagnile & Giacomo Bormetti & Michele Treccani & Stefano Marmi & Fabrizio Lillo, 2018. "Collective synchronization and high frequency systemic instabilities in financial markets," Quantitative Finance, Taylor & Francis Journals, vol. 18(2), pages 237-247, February.
    7. J. Chen & A. G. Hawkes & E. Scalas & M. Trinh, 2018. "Performance of information criteria for selection of Hawkes process models of financial data," Quantitative Finance, Taylor & Francis Journals, vol. 18(2), pages 225-235, February.
    8. Adrian Baldwin & Iffat Gheyas & Christos Ioannidis & David Pym & Julian Williams, 2017. "Contagion in cyber security attacks," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 68(7), pages 780-791, July.
    9. Alice Buccioli & Thomas Kokholm, 2018. "Constant proportion portfolio insurance strategies in contagious markets," Quantitative Finance, Taylor & Francis Journals, vol. 18(2), pages 311-331, February.
    10. Gabriele Stabile & Giovanni Luca Torrisi, 2010. "Risk Processes with Non-stationary Hawkes Claims Arrivals," Methodology and Computing in Applied Probability, Springer, vol. 12(3), pages 415-429, September.
    11. V. Chavez-Demoulin & A. C. Davison & A. J. McNeil, 2005. "Estimating value-at-risk: a point process approach," Quantitative Finance, Taylor & Francis Journals, vol. 5(2), pages 227-234.
    12. M. Achab & E. Bacry & J. F. Muzy & M. Rambaldi, 2018. "Analysis of order book flows using a non-parametric estimation of the branching ratio matrix," Quantitative Finance, Taylor & Francis Journals, vol. 18(2), pages 199-212, February.
    13. Mohler, G. O. & Short, M. B. & Brantingham, P. J. & Schoenberg, F. P. & Tita, G. E., 2011. "Self-Exciting Point Process Modeling of Crime," Journal of the American Statistical Association, American Statistical Association, vol. 106(493), pages 100-108.
    14. Large, Jeremy, 2007. "Measuring the resiliency of an electronic limit order book," Journal of Financial Markets, Elsevier, vol. 10(1), pages 1-25, February.
    15. Stephen Hardiman & Nicolas Bercot & Jean-Philippe Bouchaud, 2013. "Critical reflexivity in financial markets: a Hawkes process analysis," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 86(10), pages 1-9, October.
    16. Alan G. Hawkes, 2018. "Hawkes processes and their applications to finance: a review," Quantitative Finance, Taylor & Francis Journals, vol. 18(2), pages 193-198, February.
    17. Jian Chen & Michael P Clements & Andrew Urquhart, 2024. "Modeling Price and Variance Jump Clustering Using the Marked Hawkes Process," Journal of Financial Econometrics, Oxford University Press, vol. 22(3), pages 743-772.
    18. Xiaofei Lu & Frédéric Abergel, 2018. "High dimensional Hawkes processes for limit order books Modelling, empirical analysis and numerical calibration," Post-Print hal-01686122, HAL.
    19. Aït-Sahalia, Yacine & Cacho-Diaz, Julio & Laeven, Roger J.A., 2015. "Modeling financial contagion using mutually exciting jump processes," Journal of Financial Economics, Elsevier, vol. 117(3), pages 585-606.
    20. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2021. "Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events," Post-Print hal-02998555, HAL.
    21. M. Schneider & F. Lillo & L. Pelizzon, 2018. "Modelling illiquidity spillovers with Hawkes processes: an application to the sovereign bond market," Quantitative Finance, Taylor & Francis Journals, vol. 18(2), pages 283-293, February.
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