An estimation procedure for the Hawkes process

Citations

Cited by:

1. 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.
2. 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.
3. Chen, Zezhun & Dassios, Angelos, 2022. "Cluster point processes and Poisson thinning INARMA," LSE Research Online Documents on Economics 113652, London School of Economics and Political Science, LSE Library.
4. Konark Jain & Jean-Franc{c}ois Muzy & Jonathan Kochems & Emmanuel Bacry, 2024. "No Tick-Size Too Small: A General Method for Modelling Small Tick Limit Order Books," Papers 2410.08744, arXiv.org, revised Aug 2025.
5. Chenlong Li & Kaiyan Cui, 2024. "Multivariate Hawkes processes with spatial covariates for spatiotemporal event data analysis," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 76(4), pages 535-578, August.
6. Francis Agana & Eben Maré, 2025. "Modelling Insurance Claims During Financial Crises: A Systemic Approach," JRFM, MDPI, vol. 18(6), pages 1-20, June.
7. Benjamin Favetto, 2019. "The European intraday electricity market : a modeling based on the Hawkes process," Working Papers hal-02089289, HAL.
8. Boubacar Maïnassara, Yacouba & Rabehasaina, Landy, 2025. "Estimation of subcritical Galton Watson processes with correlated immigration," Stochastic Processes and their Applications, Elsevier, vol. 184(C).
9. Cui, Kaiyan & Guo, Tianyun & Wang, Suping, 2026. "Reduced-rank matrix integer-valued autoregressive model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 246(C), pages 665-683.
10. Cao, Jingyi & Landriault, David & Li, Bin, 2020. "Optimal reinsurance-investment strategy for a dynamic contagion claim model," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 206-215.
11. Huang, Lorick & Khabou, Mahmoud, 2023. "Nonlinear Poisson autoregression and nonlinear Hawkes processes," Stochastic Processes and their Applications, Elsevier, vol. 161(C), pages 201-241.
12. Masato Hisakado & Kodai Hattori & Shintaro Mori, 2022. "Multi-dimensional Self-Exciting NBD Process and Default Portfolios," The Review of Socionetwork Strategies, Springer, vol. 16(2), pages 493-512, October.
13. Fujimori, Kou & Shiraishi, Hiroshi & Hirukawa, Junichi & Fokianos, Konstantinos, 2026. "Sparse estimators for multivariate integer-valued autoregressive models with applications to inference for Hawkes processes," Stochastic Processes and their Applications, Elsevier, vol. 198(C).
14. Ramon Marc Garcia Seuma, 2026. "Measuring the engine of a liquidation cascade: subcritical branching inside a first-order transition," Papers 2608.03616, arXiv.org.
15. Yang Lu, 2021. "The predictive distributions of thinning‐based count processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(1), pages 42-67, March.
16. Kotaro Sakuraba & Wataru Kurebayashi & Masato Hisakado & Shintaro Mori, 2024. "Self-exciting negative binomial distribution process and critical properties of intensity distribution," Evolutionary and Institutional Economics Review, Springer, vol. 21(2), pages 277-299, September.
17. Philip Protter & Qianfan Wu & Shihao Yang, 2021. "Order Book Queue Hawkes-Markovian Modeling," Papers 2107.09629, arXiv.org, revised Jan 2022.
18. Luca Mucciante & Alessio Sancetta, 2023. "Estimation of an Order Book Dependent Hawkes Process for Large Datasets," Papers 2307.09077, arXiv.org, revised May 2026.
19. Fujimori, Kou & Tsukuda, Koji, 2026. "Two-step estimations via the Dantzig selector for models of stochastic processes with high-dimensional parameters," Stochastic Processes and their Applications, Elsevier, vol. 192(C).
20. Sayak Dutta, 2026. "Exact Phase-Type Point Processes for Certified Measurement and Prediction of Event Streams," Papers 2610.14948, arXiv.org.
21. Maxime Morariu-Patrichi & Mikko S. Pakkanen, 2017. "Hybrid marked point processes: characterisation, existence and uniqueness," Papers 1707.06970, arXiv.org, revised Oct 2018.
22. Hyoeun Lee & Kiseop Lee, 2026. "A Spread-Gated Hawkes-Flocking Model for Best Bid and Ask Dynamics, with an Application to Limit Order Placement," Papers 2609.36631, arXiv.org.
23. Weiyi Liu & Song‐Ping Zhu, 2019. "Pricing variance swaps under the Hawkes jump‐diffusion process," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(6), pages 635-655, June.
24. Timoth'ee Fabre & Ioane Muni Toke, 2024. "Neural Hawkes: Non-Parametric Estimation in High Dimension and Causality Analysis in Cryptocurrency Markets," Papers 2401.09361, arXiv.org, revised Nov 2024.
25. Iacopo Raffaelli & Simone Scotti & Giacomo Toscano, 2024. "Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S &P500 data," Annals of Operations Research, Springer, vol. 336(1), pages 27-45, May.
26. 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.
27. 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.
28. Konark Jain & Nick Firoozye & Jonathan Kochems & Philip Treleaven, 2024. "Limit Order Book Simulations: A Review," Papers 2402.17359, arXiv.org, revised Mar 2024.