Hawkes (1971a, 1971b, 1972) introduced a family of models for stochastic point processes
called 'self-exciting and mutually exciting point processes' the essential property of which …

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 …

It has been recently shown that rough volatility models, where the volatility is driven by a
fractional Brownian motion with small Hurst parameter, provide very relevant dynamics in …

Hawkes processes are a particularly interesting class of stochastic process that have been
applied in diverse areas, from earthquake modelling to financial analysis. They are point …

We show that typical behaviors of market participants at the high frequency scale generate
leverage effect and rough volatility. To do so, we build a simple microscopic model for the …

Hawkes () introduced a powerful multivariate point process model of mutually exciting
processes to explain causal structure in data. In this article, it is shown that the Granger …

In the context of statistics for random processes, we prove a law of large numbers and a
functional central limit theorem for multivariate Hawkes processes observed over a time …

Abstract\emphDiffusion network inference and\emphmeme tracking have been two key
challenges in viral diffusion. This paper shows that these two tasks can be addressed …

We define a numerical method that provides a non-parametric estimation of the kernel
shape in symmetric multivariate Hawkes processes. This method relies on second order …

We model the arrival of mid-price changes in the E-mini S&P futures contract as a self-
exciting Hawkes process. Using several estimation methods, we find that the Hawkes kernel …