Hawkes Processes in Finance
Work
Year: 2015
Type: article
Abstract: In this paper we propose an overview of the recent academic literature devoted to the applications of Hawkes processes in finance. Hawkes processes constitute a particular class of multivariate point ... more
Institutions École Polytechnique, Centre National de la Recherche Scientifique, Sciences pour l'Environnement, Université de Corse Pascal Paoli
Cites: 80
Cited by: 349
Related to: 10
FWCI: 27.76
Citation percentile (by year/subfield): 99.99
Subfield: Applied Mathematics
Field: Mathematics
Domain: Physical Sciences
Open Access status: green