Hawkes processes in finance: market structure and impact

Chen, Jing; Taylor, Nick; Yang, Steve Y.; Han, Qian

doi:10.1080/1351847x.2022.2060755

The European Journal of Finance

2022

DOI: 10.1080/1351847x.2022.2060755

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Hawkes processes in finance: market structure and impact

Jing Chen

Nick Taylor

Steve Y. Yang

et al.

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Cited by 5 publications

References 31 publications

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Application of Hawkes Volatility in the Observation of Filtered High‐Frequency Price Process in Tick Structures

Lee

2024

Appl Stoch Models Bus & Ind

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The Hawkes model is suitable for describing self and mutually exciting random events. In addition, the exponential decay in the Hawkes process allows us to calculate the moment properties of the model. However, owing to the complexity of the model and formula, few studies have examined the Hawkes volatility. In this study, we derive a variance formula that is directly applicable under the general settings of both unmarked and marked Hawkes models for tick‐level price dynamics. In the marked model, the linear impact function and possible dependency between the marks and underlying processes are considered. The Hawkes volatility is applied to the mid‐price process filtered at 0.1‐s intervals to show reliable results. Furthermore, intraday estimation is expected to widely utilized in real‐time risk management. We also note the increasing predictive power of the intraday Hawkes volatility over time and examine the relationship between futures and stock volatilities.

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Application of Hawkes Volatility in the Observation of Filtered High‐Frequency Price Process in Tick Structures

Lee

2024

Appl Stoch Models Bus & Ind

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Multiple stocks recommendation: a spatio-temporal hypergraph learning approach

Xin,

Chao,

Baozhong

2024

Appl Intell

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

Chen

2024

JABES

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Jing ChenAlan Hawkes on the Bay campus of Swansea University (UK), looking out to the lighthouse afar It is approaching a year since Professor Alan G. Hawkes passed away on 9 November, 2023 and there is no better time than now to look at his remarkble life, especially his academic excellence and contribution. In this short tribute, I will touch on his early academic journey, the official academic years that forms the first peak period of his academic achievement, and his retired days that brought the second climax of his academic career.Academic scholars always say "once an academics, always academics" and this is so true in Alan's life. Alan had a fast-track academic career, due to his distinctive talent, dedication and great quality of collaborating with people. He started lecturing in UCL before completing his doctoral study on "Stochastic Problems in Traffic Flow" with Maurice Stevenson Bartlett in 1965. He took the Reader position in Durham in 1969 and moved to Swansea University Editorial to the Special Issue on "The Hawkes Process: Theory, Methodology, Algorithms, Extension, and Applications in Environmental Sciences" at JABES.

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Hawkes processes in finance: market structure and impact

Cited by 5 publications

References 31 publications

Application of Hawkes Volatility in the Observation of Filtered High‐Frequency Price Process in Tick Structures

Application of Hawkes Volatility in the Observation of Filtered High‐Frequency Price Process in Tick Structures

Multiple stocks recommendation: a spatio-temporal hypergraph learning approach

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

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