Transform analysis for Hawkes processes with applications in dark pool trading
From MaRDI portal
Publication:4554422
DOI10.1080/14697688.2017.1403151zbMath1400.91542arXiv1710.01452OpenAlexW2962864102MaRDI QIDQ4554422
No author found.
Publication date: 14 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1710.01452
Related Items
Mean-Variance Portfolio Selection in Contagious Markets ⋮ An ephemerally self-exciting point process ⋮ Unnamed Item ⋮ Electricity Intraday Price Modelling with Marked Hawkes Processes ⋮ An expansion formula for Hawkes processes and application to cyber-insurance derivatives ⋮ Asymptotic results for a class of Markovian self-exciting processes ⋮ A data-driven deep learning approach for options market making ⋮ Unnamed Item ⋮ On the cumulant transforms for Hawkes processes ⋮ Precise deviations for Hawkes processes
Cites Work
- Unnamed Item
- Locally stationary Hawkes processes
- Modelling security market events in continuous time: intensity based, multivariate point process models
- On first passage times of a hyper-exponential jump diffusion process
- Large deviations for Markovian nonlinear Hawkes processes
- Limit theorems for nearly unstable Hawkes processes
- Buy Low, Sell High: A High Frequency Trading Perspective
- Double-Sided Batch Queues with Abandonment: Modeling Crossing Networks
- Affine Point Processes and Portfolio Credit Risk
- A dynamic contagion process
- Limit Theorems for Marked Hawkes Processes with Application to a Risk Model
- Long-Time Behavior of a Hawkes Process--Based Limit Order Book
- Affine Point Processes: Approximation and Efficient Simulation
- A cluster process representation of a self-exciting process
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Power spectra of general shot noises and Hawkes point processes with a random excitation
- An Introduction to the Theory of Point Processes
- Collocation Methods for Volterra Integral and Related Functional Differential Equations
- Numerical Inversion of Laplace Transforms of Probability Distributions
- Hawkes model for price and trades high-frequency dynamics
- Optimal liquidation in dark pools
- PORTFOLIO LIQUIDATION IN DARK POOLS IN CONTINUOUS TIME
- Optimal Split of Orders Across Liquidity Pools: A Stochastic Algorithm Approach
- Spectra of some self-exciting and mutually exciting point processes
- An algorithm for calculating indices in Fàa di Bruno's formula
This page was built for publication: Transform analysis for Hawkes processes with applications in dark pool trading
