英文标题：
《Hawkes processes in finance》
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作者：
Emmanuel Bacry, Iacopo Mastromatteo, and Jean-Fran\\c{c}ois Muzy
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最新提交年份：
2015
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英文摘要：
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 processes that has become very popular in empirical high frequency finance this last decade. After a reminder of the main definitions and properties that characterize Hawkes processes, we review their main empirical applications to address many different problems in high frequency finance. Because of their great flexibility and versatility, we show that they have been successfully involved in issues as diverse as estimating the volatility at the level of transaction data, estimating the market stability, accounting for systemic risk contagion, devising optimal execution strategies or capturing the dynamics of the full order book.
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中文摘要：
在本文中，我们提出了一个关于霍克斯过程在金融中应用的最新学术文献综述。霍克斯过程构成了一类特殊的多元点过程，在过去十年里，它在经验高频金融中非常流行。在回顾了霍克斯过程的主要定义和性质之后，我们回顾了它们在解决高频金融中的许多不同问题方面的主要经验应用。由于它们具有极大的灵活性和多功能性，我们表明，它们成功地参与了各种各样的问题，如估计交易数据层面的波动性、估计市场稳定性、考虑系统性风险传染、设计最佳执行策略或捕捉整份订单的动态。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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