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Quantitative Finance Volume 15, 2015 - Issue 8: Special Issue on High Frequency Data Modeling in Finance
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Research Papers

Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data

V. FilimonovDepartment of Management, Technology and Economics, ETH Zürich, Zürich, Switzerland.Correspondence[email protected]
&
D. SornetteDepartment of Management, Technology and Economics, ETH Zürich, Zürich, Switzerland.;Swiss Finance Institute, c/o University of Geneva, Geneva, Switzerland.
Pages 1293-1314 | Received 11 Nov 2013, Accepted 10 Nov 2014, Published online: 11 May 2015

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Jingbin Zhuo, Yufan Chen, Bang Zhou, Baiming Lang, Lan Wu & Ruixun Zhang. (2023) A Hawkes process analysis of high-frequency price endogeneity and market efficiency. The European Journal of Finance 0:0, pages 1-31.
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Marcello Rambaldi, Emmanuel Bacry & Fabrizio Lillo. (2017) The role of volume in order book dynamics: a multivariate Hawkes process analysis. Quantitative Finance 17:7, pages 999-1020.
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Jingru Ji, Donghua Wang, Dinghai Xu & Chi Xu. (2020) Combining a self-exciting point process with the truncated generalized Pareto distribution: An extreme risk analysis under price limits. Journal of Empirical Finance 57, pages 52-70.
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Hai-Chuan Xu & Wei-Xing Zhou. (2020) Modeling aggressive market order placements with Hawkes factor models. PLOS ONE 15:1, pages e0226667.
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Marcello Rambaldi, Vladimir Filimonov & Fabrizio Lillo. (2018) Detection of intensity bursts using Hawkes processes: An application to high-frequency financial data. Physical Review E 97:3.
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V. Gontis. (2016) Interplay between Endogenous and Exogenous Fluctuations in Financial Markets. Acta Physica Polonica A 129:5, pages 1023-1031.
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Baron Law & Frederi Viens. 2016. Handbook of High‐Frequency Trading and Modeling in Finance. Handbook of High‐Frequency Trading and Modeling in Finance 183 219 .
Frédéric Abergel & Aymen Jedidi. (2015) Long-Time Behavior of a Hawkes Process--Based Limit Order Book. SIAM Journal on Financial Mathematics 6:1, pages 1026-1043.
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Seunghyeon Yu & Yoann Potiron. (2022) A Tale of Two Time Scales: Applications in Nonparametric Hawkes Processes With Ito Semimartingale Baseline. SSRN Electronic Journal.
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Alexander Wehrli & Didier Sornette. (2021) Excess financial volatility explained by endogenous excitations revealed by EM calibrations of a generalized Hawkes point process. SSRN Electronic Journal.
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Kylie-Anne Richards, William Dunsmuir & Gareth W. Peters. (2019) Score Test for Marks in Hawkes Processes. SSRN Electronic Journal.
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Peter Zeitsch. (2018) A Jump Model for Credit Default Swaps with Hierarchical Clustering. SSRN Electronic Journal.
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Spencer Wheatley, Alexander Wehrli & Didier Sornette. (2018) The Endo-Exo Problem in High Frequency Financial Price Fluctuations and Rejecting Criticality. SSRN Electronic Journal.
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Paul Jusselin & Mathieu Rosenbaum. (2018) No-Arbitrage Implies Power-Law Market Impact and Rough Volatility. SSRN Electronic Journal.
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Ping Chen Tsai. (2018) Do Jumps in Financial Prices Cluster? Evidence from High-Frequency Data. SSRN Electronic Journal.
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Alice Buccioli & Thomas Kokholm. (2017) Constant Proportion Portfolio Insurance Strategies in Contagious Markets. SSRN Electronic Journal.
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Guillaume Bernis, Kaouther Salhi & Simone Scotti. (2017) Sensitivity Analysis for Marked Hawkes Processes - Application to CLO Pricing. SSRN Electronic Journal.
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Pierre Blanc, Jonathan Donier & Jean-Philippe Bouchaud. (2015) Quadratic Hawkes Processes for Financial Prices. SSRN Electronic Journal.
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Spencer Wheatley, Vladimir Filimonov & Didier Sornette. (2014) Estimation of the Hawkes Process with Renewal Immigration Using the EM Algorithm. SSRN Electronic Journal.
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Vladimir Filimonov & Didier Sornette. (2014) Power Law Scaling and "Dragon-Kings'' in Distributions of Intraday Financial Drawdown. SSRN Electronic Journal.
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