Quantitative Finance, Volume 18, Issue 2 (2018)

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Quantitative Finance, Volume 18, Issue 2 (2018)

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Hawkes Processes in Finance

Features

Article
Sell in May and go away: the evidence in the international equity index futures markets
Constantine Dzhabarov, Alexandre Ziegler & William T. Ziemba
Pages: 171-181
Published online: 13 Dec 2017
AbstractforSell in May and go away: the evidence in the international equity index futures markets | Full Text | References | PDF (3.1 MB)
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Book review

Book Review
The Economy: Economics for a Changing World
Riccardo Rebonato
Pages: 183-185
Published online: 13 Dec 2017
First Page PreviewforThe Economy: Economics for a Changing World | Full Text | References | PDF (287.9 KB)
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Free Access

Calendar

Calendar
Calendar
Page: 187
Published online: 08 Jan 2018
CitationforCalendar | Full Text | PDF (38.8 KB)
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Editors' foreword

Introduction
Editors’ foreword
Special issue of Quantitative Finance on ‘Hawkes Processes in Finance’
Maggie Chen, Alan Hawkes, Khaldoun Khashanah, David McMillan, Mathieu Rosenbaum, Enrico Scalas & Steve Yang
Pages: 191-192
Published online: 13 Dec 2017
CitationforEditors’ foreword | Full Text | PDF (131.6 KB)
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Free Access

Review Article

Review Article
Hawkes processes and their applications to finance: a review
Alan G. Hawkes
Pages: 193-198
Published online: 19 Dec 2017
First Page PreviewforHawkes processes and their applications to finance: a review | Full Text | References | PDF (236.9 KB)
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Research Papers

Article
Analysis of order book flows using a non-parametric estimation of the branching ratio matrix
M. Achab, E. Bacry, J. F. Muzy & M. Rambaldi
Pages: 199-212
Published online: 12 Dec 2017
AbstractforAnalysis of order book flows using a non-parametric estimation of the branching ratio matrix | Full Text | References | PDF (958 KB)
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Article
A slightly depressing jump model: intraday volatility pattern simulation
Khaldoun Khashanah, Jing Chen & Alan Hawkes
Pages: 213-224
Published online: 19 Dec 2017
AbstractforA slightly depressing jump model: intraday volatility pattern simulation | Full Text | References | PDF (450.9 KB)
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Article
Performance of information criteria for selection of Hawkes process models of financial data
J. Chen, A. G. Hawkes, E. Scalas & M. Trinh
Pages: 225-235
Published online: 19 Dec 2017
AbstractforPerformance of information criteria for selection of Hawkes process models of financial data | Full Text | References | PDF (297.4 KB) | Supplemental
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Article
Collective synchronization and high frequency systemic instabilities in financial markets
Lucio Maria Calcagnile, Giacomo Bormetti, Michele Treccani, Stefano Marmi & Fabrizio Lillo
Pages: 237-247
Published online: 19 Dec 2017
AbstractforCollective synchronization and high frequency systemic instabilities in financial markets | Full Text | References | PDF (1.1 MB)
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Article
High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration
Xiaofei Lu & Frédéric Abergel
Pages: 249-264
Published online: 02 Jan 2018
AbstractforHigh-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration | Full Text | References | PDF (1 MB)
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Article
Transform analysis for Hawkes processes with applications in dark pool trading
Xuefeng Gao, Xiang Zhou & Lingjiong Zhu
Pages: 265-282
Published online: 12 Dec 2017
AbstractforTransform analysis for Hawkes processes with applications in dark pool trading | Full Text | References | PDF (911.4 KB)
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Article
Modelling illiquidity spillovers with Hawkes processes: an application to the sovereign bond market
M. Schneider, F. Lillo & L. Pelizzon
Pages: 283-293
Published online: 19 Dec 2017
AbstractforModelling illiquidity spillovers with Hawkes processes: an application to the sovereign bond market | Full Text | References | PDF (1.1 MB)
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Article
Applications of a multivariate Hawkes process to joint modeling of sentiment and market return events
Steve Y. Yang, Anqi Liu, Jing Chen & Alan Hawkes
Pages: 295-310
Published online: 19 Dec 2017
AbstractforApplications of a multivariate Hawkes process to joint modeling of sentiment and market return events | Full Text | References | PDF (922.7 KB)
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Article
Constant proportion portfolio insurance strategies in contagious markets
Alice Buccioli & Thomas Kokholm
Pages: 311-331
Published online: 19 Dec 2017
AbstractforConstant proportion portfolio insurance strategies in contagious markets | Full Text | References | PDF (691 KB)
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