Multivariate quadratic Hawkes processes—part I: theoretical analysis-Reference-Cited by-同舟云学术

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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 Cécilia¹²^ORCID,Benzaquen Michael¹²³^ORCID,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

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2023.2178322

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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