Some limit theorems for Hawkes processes and application to financial statistics

DOI10.1016/J.SPA.2013.04.007MaRDI QIDQ2447641zbMATH OpenOpenAlexFDO

Authors Emmanuel Bacry, Sylvain Delattre, M. Hoffmann, Jean-François Muzy

Publication date 28 April 2014

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1202.0842

zbMATH Keywords

point processesHawkes processeslimit theoremsdiscretisation of stochastic processesstatistics of random processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05)

Abstract: We prove a law of large numbers and a functional central limit theorem for multivariate Hawkes processes observed over a time interval $[0,T]$ in the limit $Tightarrowinfty$. We further exhibit the asymptotic behaviour of the covariation of the increments of the components of a multivariate Hawkes process, when the observations are imposed by a discrete scheme with mesh $Delta$ over $[0,T]$ up to some further time shift $au$. The behaviour of this functional depends on the relative size of $Delta$ and $au$ with respect to $T$ and enables to give a full account of the second-order structure. As an application, we develop our results in the context of financial statistics. We introduced in a previous work a microscopic stochastic model for the variations of a multivariate financial asset, based on Hawkes processes and that is confined to live on a tick grid. We derive and characterise the exact macroscopic diffusion limit of this model and show in particular its ability to reproduce important empirical stylised fact such as the Epps effect and the lead-lag effect. Moreover, our approach enable to track these effects across scales in rigorous mathematical terms.

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Cited in

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• Bayesian estimation of nonlinear Hawkes processes
• Affine point processes: approximation and efficient simulation
• Inference for time-varying lead-lag relationships from ultra-high-frequency data
• Dynamic optimal execution in a mixed-market-impact Hawkes price model
• Diffusive limits of Lipschitz functionals of Poisson measures
• An ephemerally self-exciting point process
• Mean-field limit of generalized Hawkes processes
• Integration by parts formulas for marked Hawkes processes
• Hawkes processes on large networks
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• Hawkes model for price and trades high-frequency dynamics
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• Multivariate Hawkes processes with simultaneous occurrence of excitation events coming from different sources
• Dimensioning a queue with state-dependent arrival rates
• Limit theorems for Markovian Hawkes processes with a large initial intensity
• The limits of statistical significance of Hawkes processes fitted to financial data
• Asymptotic results for a class of Markovian self-exciting processes
• Queues with path-dependent arrival processes
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• Statistical inference versus mean field limit for Hawkes processes
• Functional central limit theorems and moderate deviations for Poisson cluster processes
• Price impact of large orders using Hawkes processes
• The characteristic function of rough Heston models
• Limit theorems for marked Hawkes processes with application to a risk model
• Self-exciting jump processes with applications to energy markets
• Long-time behavior of a Hawkes process-based limit order book
• Cluster point processes and Poisson thinning INARMA
• The Hawkes process with different exciting functions and its asymptotic behavior
• Infinitely stochastic micro reserving
• Limit theorems for a Cox-Ingersoll-Ross process with Hawkes jumps
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• Multivariate quadratic Hawkes processes—part I: theoretical analysis
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• Study of discrete-time Hawkes process and its compensator
• Moment generating function of non-Markov self-excited claims processes
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• The microstructural foundations of leverage effect and rough volatility
• Electricity Intraday Price Modelling with Marked Hawkes Processes
• On the nonparametric inference of coefficients of self-exciting jump-diffusion
• On the chaotic expansion for counting processes
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• Limit theorems for nearly unstable Hawkes processes
• Lasso and probabilistic inequalities for multivariate point processes
• Rough Heston Models with Variable Vol-of-Vol and Option Pricing
• Limit properties of continuous self-exciting processes
• On the total claim amount for marked Poisson cluster models
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• Technical Note—Approximating Systems Fed by Poisson Processes with Rapidly Changing Arrival Rates
• Asymptotics for Hawkes processes with large and small baseline intensities
• Asymptotics for an extended inverse Markovian Hawkes process
• Order Book Queue Hawkes Markovian Modeling
• Normal approximation of compound Hawkes functionals
• Central limit theorem for nonlinear Hawkes processes
• A switching microstructure model for stock prices
• Limit theorems for Hawkes processes including inhibition
• The microstructure of stochastic volatility models with self-exciting jump dynamics
• Clustering effects via Hawkes processes
• Applications of a multivariate Hawkes process to joint modeling of sentiment and market return events
• An estimation procedure for the Hawkes process
• Functional limit theorems for a new class of non-stationary shot noise processes
• Note on the weak convergence of hyperplane \(\alpha\)-quantile functionals and their continuity in the Skorokhod J1 topology
• A common shock model for multidimensional electricity intraday price modelling with application to battery valuation
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• Classification of flash crashes using the Hawkes \(p,q\) framework
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