Overview
During the last decade there has been a rapidly increasing flow of papers published on the theory and applications of Hawkes processes. The field of applications is wide, but roughly half of the recently published applications have been in the area of finance, utilizing fundamental operational research theories and modeling techniques. The goal of this special issue is to bring together expositions of the research that has developed new theoretical models employing Hawkes processes in a variety of financial problems. It will investigate the accuracy, computational efficiency and simplicity of various estimation and optimization methods that can be employed in the analysis of these problems. We encourage applications to financial topics including, but not restricted to, jump-diffusion models, LOB, market microstructure, HFT, financial networks, credit default, VaR; measurement of volatility and liquidity; asset pricing, portfolio selection, hedging strategies and market design.
Special Issue Guest Editors
Alan Hawkes (Swansea University)
Mathieu Rosenbaum (Université Pierre et Marie Curie)
Enrico Scalas (Sussex University)
Khaldoun Khashanah (Stevens Institute of Technology)
Steve Yang (Stevens Institute of Technology & Commodity Futures Trading Commission)
David McMillan (Stirling University)
Maggie Chen (Cardiff University)
Paper submission procedure
For submission, the full paper, a blind copy and a separate title page should be sent to the special issue editorial board via email: [email protected]. All submissions should be in PDF. For papers which are finally accepted for the QF special issue, the normal journal requirements for publication will apply.
Important dates
The formal procedure for handling papers will be subject to the following timetable:
| - | Call for Papers: July 2016 | ||||
| - | Papers should be submitted by: 17 April 2017 | ||||
| - | Authors notified by: 17 May 2017 | ||||
| - | Final version submitted by: 31 July 2017 | ||||
| - | Final notification of acceptance for the special issue by: 30 September 2017. | ||||
Guide for authors
Potential authors should consult the QF guide for authors at
http://www.tandfonline.com/action/journalInformation?journalCode=rquf20#.VwuP_Wd3GUk