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Hawkes model for price and trades high-frequency dynamics

Citations

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Cited by:

  1. Dupret, Jean-Loup & Hainaut, Donatien, 2023. "A fractional Hawkes process for illiquidity modeling," LIDAM Discussion Papers ISBA 2023001, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  2. Maxime Morariu-Patrichi & Mikko S. Pakkanen, 2018. "State-dependent Hawkes processes and their application to limit order book modelling," Papers 1809.08060, arXiv.org, revised Sep 2021.
  3. Ma, Yong & Pan, Dongtao & Shrestha, Keshab & Xu, Weidong, 2020. "Pricing and hedging foreign equity options under Hawkes jump–diffusion processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
  4. Alba Bernabeu & Jiancang Zhuang & Jorge Mateu, 2025. "Spatio-Temporal Hawkes Point Processes: A Review," Journal of Agricultural, Biological and Environmental Statistics, Springer;The International Biometric Society;American Statistical Association, vol. 30(1), pages 89-119, March.
  5. Xuefeng Gao & Xiang Zhou & Lingjiong Zhu, 2017. "Transform Analysis for Hawkes Processes with Applications in Dark Pool Trading," Papers 1710.01452, arXiv.org.
  6. Hai-Chuan Xu & Wei-Xing Zhou, 2020. "Modeling aggressive market order placements with Hawkes factor models," PLOS ONE, Public Library of Science, vol. 15(1), pages 1-12, January.
  7. Dupret, Jean-Loup & Hainaut, Donatien, 2023. "Optimal liquidation under indirect price impact with propagator," LIDAM Discussion Papers ISBA 2023012, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  8. Fabrizio Lillo, 2021. "Order flow and price formation," Papers 2105.00521, arXiv.org.
  9. N Baradel & B Bouchard & Ngoc Minh Dang, 2016. "Optimal trading with online parameters revisions," Papers 1604.06342, arXiv.org.
  10. 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.
  11. Philip Protter & Qianfan Wu & Shihao Yang, 2021. "Order Book Queue Hawkes-Markovian Modeling," Papers 2107.09629, arXiv.org, revised Jan 2022.
  12. Lucchese, Lorenzo & Pakkanen, Mikko S. & Veraart, Almut E.D., 2024. "The short-term predictability of returns in order book markets: A deep learning perspective," International Journal of Forecasting, Elsevier, vol. 40(4), pages 1587-1621.
  13. 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.
  14. Jim Gatheral & Thibault Jaisson & Mathieu Rosenbaum, 2014. "Volatility is rough," Papers 1410.3394, arXiv.org.
  15. 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.
  16. Benjamin Favetto, 2019. "The European intraday electricity market : a modeling based on the Hawkes process," Working Papers hal-02089289, HAL.
  17. Roger Martins & Dieter Hendricks, 2016. "The statistical significance of multivariate Hawkes processes fitted to limit order book data," Papers 1604.01824, arXiv.org, revised Apr 2016.
  18. N. Baradel & Bruno Bouchard & N. m. Dang, 2016. "Optimal Trading with Online Parameter Revisions," Post-Print hal-01590602, HAL.
  19. Marcello Rambaldi & Emmanuel Bacry & Jean-Franc{c}ois Muzy, 2018. "Disentangling and quantifying market participant volatility contributions," Papers 1807.07036, arXiv.org.
  20. Baron Law & Frederi Viens, 2019. "Market Making under a Weakly Consistent Limit Order Book Model," Papers 1903.07222, arXiv.org, revised Jan 2020.
  21. Pierre Blanc & Jonathan Donier & Jean-Philippe Bouchaud, 2015. "Quadratic Hawkes processes for financial prices," Papers 1509.07710, arXiv.org.
  22. 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.
  23. 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.
  24. Yin, Ya-Hua & Zhu, Fu-min & Zheng, Zun-Xin, 2024. "Pricing VIX options based on mean-reverting models driven by information," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
  25. Jing, Bo & Li, Shenghong & Ma, Yong, 2021. "Consistent pricing of VIX options with the Hawkes jump-diffusion model," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
  26. Kyungsub Lee, 2025. "Self and Mutually Exciting Point Process Embedding Flexible Residuals and Intensity with Discretely Markovian Dynamics," Methodology and Computing in Applied Probability, Springer, vol. 27(2), pages 1-23, June.
  27. Haghighi, Afshin & Fallahpour, Saeid & Eyvazlu, Reza, 2016. "Modelling order arrivals at price limits using Hawkes processes," Finance Research Letters, Elsevier, vol. 19(C), pages 267-272.
  28. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2020. "Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events," Working Papers hal-02998555, HAL.
  29. 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.
  30. Jean-Loup Dupret & Donatien Hainaut, 2025. "A fractional Hawkes process for illiquidity modeling," Mathematics and Financial Economics, Springer, volume 19, number 6, September.
  31. Xiaofei Lu & Frédéric Abergel, 2018. "High dimensional Hawkes processes for limit order books Modelling, empirical analysis and numerical calibration," Post-Print hal-01686122, HAL.
  32. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2021. "Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events," Post-Print hal-02998555, HAL.
  33. Ivan Jericevich & Dharmesh Sing & Tim Gebbie, 2021. "CoinTossX: An open-source low-latency high-throughput matching engine," Papers 2102.10925, arXiv.org.
  34. Choi, So Eun & Jang, Hyun Jin & Lee, Kyungsub & Zheng, Harry, 2021. "Optimal market-Making strategies under synchronised order arrivals with deep neural networks," Journal of Economic Dynamics and Control, Elsevier, vol. 125(C).
  35. Bastien Baldacci, 2020. "High-frequency dynamics of the implied volatility surface," Papers 2012.10875, arXiv.org.
  36. Ye-Sheen Lim & Denise Gorse, 2020. "Deep Recurrent Modelling of Stationary Bitcoin Price Formation Using the Order Flow," Papers 2004.01499, arXiv.org.
  37. Emmanuel Bacry & Iacopo Mastromatteo & Jean-Franc{c}ois Muzy, 2015. "Hawkes processes in finance," Papers 1502.04592, arXiv.org, revised May 2015.
  38. 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).
  39. Lee, Kyungsub & Seo, Byoung Ki, 2017. "Marked Hawkes process modeling of price dynamics and volatility estimation," Journal of Empirical Finance, Elsevier, vol. 40(C), pages 174-200.
  40. Massil Achab & Emmanuel Bacry & Jean-Franc{c}ois Muzy & Marcello Rambaldi, 2017. "Analysis of order book flows using a nonparametric estimation of the branching ratio matrix," Papers 1706.03411, arXiv.org.
  41. Damian Eduardo Taranto & Giacomo Bormetti & Jean-Philippe Bouchaud & Fabrizio Lillo & Bence Toth, 2016. "Linear models for the impact of order flow on prices I. Propagators: Transient vs. History Dependent Impact," Papers 1602.02735, arXiv.org.
  42. Wang, Haixu, 2022. "Limit theorems for a discrete-time marked Hawkes process," Statistics & Probability Letters, Elsevier, vol. 184(C).
  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. N Baradel & Bruno Bouchard & Ngoc Minh Dang, 2016. "Optimal trading with online parameters revisions," Post-Print hal-01304019, HAL.
  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. Kyungsub Lee, 2023. "Multi-kernel property in high-frequency price dynamics under Hawkes model," Papers 2302.11822, arXiv.org.
  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. Claudio Bellani & Damiano Brigo & Mikko Pakkanen & Leandro Sanchez-Betancourt, 2021. "Non-average price impact in order-driven markets," Papers 2110.00771, arXiv.org, revised Jan 2022.
  49. Ulrich Horst & Wei Xu, 2017. "A Scaling Limit for Limit Order Books Driven by Hawkes Processes," Papers 1709.01292, arXiv.org, revised Aug 2018.
  50. 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.
  51. Maxime Morariu-Patrichi & Mikko Pakkanen, 2018. "State-dependent Hawkes processes and their application to limit order book modelling," CREATES Research Papers 2018-26, Department of Economics and Business Economics, Aarhus University.
  52. Ulrich Horst & Dörte Kreher, 2018. "Second order approximations for limit order books," Finance and Stochastics, Springer, vol. 22(4), pages 827-877, October.
  53. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2020. "Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events," Papers 2005.05730, arXiv.org.
  54. A E Clements & A S Hurn & K A Lindsay & V Volkov, 2023. "Estimating a Non-parametric Memory Kernel for Mutually Exciting Point Processes," Journal of Financial Econometrics, Oxford University Press, vol. 21(5), pages 1759-1790.
  55. Bo Jing & Shenghong Li & Yong Ma, 2020. "Pricing VIX options with volatility clustering," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(6), pages 928-944, June.
  56. Lorenzo Mercuri & Andrea Perchiazzo & Edit Rroji, 2024. "Option Pricing with a Compound CARMA(p,q)-Hawkes," Papers 2412.15172, arXiv.org.
  57. N Baradel & B Bouchard & Ngoc Minh Dang, 2016. "Optimal trading with online parameters revisions," Working Papers hal-01304019, HAL.
  58. Damian Eduardo Taranto & Giacomo Bormetti & Jean-Philippe Bouchaud & Fabrizio Lillo & Bence Toth, 2016. "Linear models for the impact of order flow on prices II. The Mixture Transition Distribution model," Papers 1604.07556, arXiv.org.
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