Hawkes Processes in Finance

Emmanuel Bacry, Iacopo Mastromatteo, Jean-François Muzy · 2015 · Market Microstructure and Liquidity

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Survey of self-exciting point processes for trade arrivals, order flow and microstructure noise. The toolkit for event-time modelling.

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At a glance

Level: Advanced: Stochastic control, point processes, heavy econometrics or deep learning
Horizon: HFT
Data needed: Trades, L2 depth (every update) Set what data you have
Themes: Order book models
Assets: Equities
Market: Global

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Modelling and simulating the order book

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Cite

@article{bacry2015hawkes,
  author = {Bacry, Emmanuel and Mastromatteo, Iacopo and Muzy, Jean-François},
  title = {{Hawkes Processes in Finance}},
  journal = {Market Microstructure and Liquidity},
  year = {2015},
  doi = {10.1142/s2382626615500057}
}

Bacry, E., Mastromatteo, I., & Muzy, J.-F. (2015). Hawkes Processes in Finance. Market Microstructure and Liquidity. https://doi.org/10.1142/s2382626615500057