2017
DOI: 10.48550/arxiv.1710.01452
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Transform Analysis for Hawkes Processes with Applications in Dark Pool Trading

Abstract: Hawkes processes are a class of simple point processes that are self-exciting and have clustering effect, with wide applications in finance, social networks and many other fields. This paper considers a self-exciting Hawkes process where the baseline intensity is time-dependent, the exciting function is a general function and the jump sizes of the intensity process are independent and identically distributed non-negative random variables. This Hawkes model is non-Markovian in general. We obtain closedform form… Show more

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