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A slightly depressing jump model : intraday volatility pattern simulation

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Applications of a multivariate Hawkes process to joint modeling of sentiment and market return events

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A Slightly Depressing Jump Model : Intraday Volatility Pattern Simulation

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Hawkes Processes have been finding more applications in diverse areas of science, engineering and quantitative finance. In multi-frequency finance, various phenomena have been observed, such as shocks, crashes, volatility clustering, turbulent flows and contagion. Hawkes processes have been...

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Does feedback trading drive returns of cross-listed shares?

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Hawkes processes in finance : market structure and impact

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Reexamining the impact of closing call auction on market quality : a natural experiment from the Shanghai stock exchange

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Does the world smile together? : a network analysis of global index option implied volatilities

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