Quadratic Hawkes processes for financial prices

DOI10.1080/14697688.2016.1193215zbMath1402.91905arXiv1509.07710OpenAlexW2141361079MaRDI QIDQ4555068

Jean-Philippe Bouchaud, Pierre Blanc, J. Donier

Publication date: 19 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1509.07710

zbMATH Keywords

market microstructurehigh-frequency tradingHawkes processesfinancial pricestime-reversal asymmetryvolatility modellingPearsons diffusion

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70)

Related Items (14)

Exogenous and endogenous price jumps belong to different dynamical classes ⋮ Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes ⋮ An ephemerally self-exciting point process ⋮ Volatility is (mostly) path-dependent ⋮ The EWMA Heston model ⋮ Multivariate Hawkes processes with simultaneous occurrence of excitation events coming from different sources ⋮ Multivariate quadratic Hawkes processes—part I: theoretical analysis ⋮ Coupled GARCH(1,1) model ⋮ Order Book Queue Hawkes Markovian Modeling ⋮ The Zumbach effect under rough Heston ⋮ Endogenous liquidity crises ⋮ Testing the causality of Hawkes processes with time reversal ⋮ The endo–exo problem in high frequency financial price fluctuations and rejecting criticality ⋮ The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew

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