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Multivariate quadratic Hawkes processes—part I: theoretical analysis

  • Published:2023-03-07 Issue:5 Volume:23 Page:741-758
  • ISSN:1469-7688
  • Container-title:Quantitative Finance
  • language:en
  • Short-container-title:Quantitative Finance

Author:

Aubrun Cécilia12ORCID,Benzaquen Michael123ORCID,Bouchaud Jean-Philippe134

Affiliation:

1. Chair of Econophysics and Complex Systems, École polytechnique, Palaiseau Cedex 91128, France

2. LadHyX UMR CNRS 7646, École polytechnique, Palaiseau Cedex 91128, France

3. Capital Fund Management, 23 Rue de l'Université, Paris, 75007, France

4. Académie des Sciences, 23 Quai de Conti, Paris 75006, France

Funder

Econophysics & Complex Systems Research Chair

Fondation du Risque

Fondation de l'Ecole polytechnique

Ecole polytechnique

Capital Fund Management

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Reference27 articles.

1. Hawkes processes with infinite mean intensity

2. Aubrun, C., Hey, N., Benzaquen, M. and Jean-Philippe, B., Multivariate Quadratic Hawkes Processes—Part II: Empirical Analysis. In preparation.

3. Multifractal random walk

4. Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics

5. Hawkes Processes in Finance

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