Is there a future for traditional stochastic models in business and industry in the AI and ML era?
In: Statistics and beyond: new data for decision making in central banks
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- 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.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Shuhei Ota & Mitsuhiro Kimura, 2023. "Statistical injury prediction for professional sumo wrestlers: Modeling and perspectives," PLOS ONE, Public Library of Science, vol. 18(3), pages 1-20, March.
- Alec B. M. Van Helsdingen & Tiago A. Marques & Charlotte M. Jones-Todd, 2025. "An Inhomogeneous Weibull–Hawkes Process to Model Underdispersed Acoustic Cues," Journal of Agricultural, Biological and Environmental Statistics, Springer;The International Biometric Society;American Statistical Association, vol. 30(1), pages 39-62, March.
- Kyungsub Lee, 2022. "Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures," Papers 2207.05939, arXiv.org, revised Sep 2024.
- Ying Chen & Ulrich Horst & Hoang Hai Tran, 2019. "Portfolio liquidation under transient price impact -- theoretical solution and implementation with 100 NASDAQ stocks," Papers 1912.06426, arXiv.org.
- Mariko I Ito & Yudai Honma & Takaaki Ohnishi & Tsutomu Watanabe & Kazuyuki Aihara, 2024. "Exogenous and endogenous factors affecting stock market transactions: A Hawkes process analysis of the Tokyo Stock Exchange during the COVID-19 pandemic," PLOS ONE, Public Library of Science, vol. 19(4), pages 1-23, April.
- Michele Azzone & Matteo Ghesini & Davide Stocco & Lorenzo Viola, 2026. "Physical Climate Risk in Asset Management," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 33(1), pages 1077-1094, January.
- Mercuri, Lorenzo & Perchiazzo, Andrea & Rroji, Edit, 2024. "A Hawkes model with CARMA(p,q) intensity," Insurance: Mathematics and Economics, Elsevier, vol. 116(C), pages 1-26.
- Kyungsub Lee, 2024. "Self and mutually exciting point process embedding flexible residuals and intensity with discretely Markovian dynamics," Papers 2401.13890, arXiv.org, revised Mar 2025.
- Che-Yi Liao & Zheng Dong & Gian-Gabriel P. Garcia & Kamran Paynabar & Yao Xie & Mohammad S. Jalali, 2026. "Tides Need STEMMED: A Locally Operating Spatiotemporal Mutually Exciting Point Process with Dynamic Network for Improving Opioid Overdose Death Prediction," Manufacturing & Service Operations Management, INFORMS, vol. 28(2), pages 577-593, March.
- Nikolaus Graf von Luckner & Rüdiger Kiesel, 2021. "Modeling Market Order Arrivals on the German Intraday Electricity Market with the Hawkes Process," JRFM, MDPI, vol. 14(4), pages 1-31, April.
- Zhang, Zhehao & Xing, Ruina, 2025. "Multivariate Hawkes process allowing for common shocks," Statistics & Probability Letters, Elsevier, vol. 216(C).
- Philip Protter & Qianfan Wu & Shihao Yang, 2021. "Order Book Queue Hawkes-Markovian Modeling," Papers 2107.09629, arXiv.org, revised Jan 2022.
- Cattiaux, Patrick & Colombani, Laetitia & Costa, Manon, 2022. "Limit theorems for Hawkes processes including inhibition," Stochastic Processes and their Applications, Elsevier, vol. 149(C), pages 404-426.
- Feng Shi & John Paul Broussard & G. Geoffrey Booth, 2025. "The complex nature of financial market microstructure: the case of a stock market crash," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 20(1), pages 1-40, January.
- Lee Kyungsub, 2024. "Multi-kernel property in high-frequency price dynamics under Hawkes model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(4), pages 605-624.
- Leonardo Ieracitano Vieira & Márcio Poletti Laurini, 2023. "Time-varying higher moments in Bitcoin," Digital Finance, Springer, vol. 5(2), pages 231-260, June.
- Bufalo, Michele & Ceci, Claudia & Orlando, Giuseppe, 2024. "Addressing the financial impact of natural disasters in the era of climate change," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
- Jain, Konark & Firoozye, Nick & Kochems, Jonathan & Treleaven, Philip, 2024.
"Limit Order Book dynamics and order size modelling using Compound Hawkes Process,"
Finance Research Letters, Elsevier, vol. 69(PA).
- Konark Jain & Nick Firoozye & Jonathan Kochems & Philip Treleaven, 2023. "Limit Order Book Dynamics and Order Size Modelling Using Compound Hawkes Process," Papers 2312.08927, arXiv.org, revised Aug 2024.
- Simon Clinet & William T. M. Dunsmuir & Gareth W. Peters & Kylie-Anne Richards, 2021. "Asymptotic distribution of the score test for detecting marks in hawkes processes," Statistical Inference for Stochastic Processes, Springer, vol. 24(3), pages 635-668, October.
- Hui Qu & Tianyang Wang & Peng Shangguan & Mengying He, 2024. "Revisiting the puzzle of jumps in volatility forecasting: The new insights of high‐frequency jump intensity," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(2), pages 218-251, February.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bis:bisifc:66-02. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Martin Fessler (email available below). General contact details of provider: https://edirc.repec.org/data/bisssch.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.
Printed from https://ideas.repec.org/h/bis/bisifc/66-02.html