Some limit theorems for Hawkes processes and application to financial statistics

DOI10.1016/J.SPA.2013.04.007zbMATH Open1292.60032arXiv1202.0842OpenAlexW2088067727MaRDI QIDQ2447641FDOQ2447641

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)

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.

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

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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)

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