Hawkes processes in finance: market structure and impact

Jing Chen; Nick Taylor; Steve Yang; Qian Han

doi:10.1080/1351847X.2022.2060755

Hawkes processes in finance: market structure and impact

Jing Chen, Nick Taylor, Steve Yang, Qian Han

School of Business

Research output: Contribution to journal › Article › peer-review

5 Scopus citations

Original language	English
Pages (from-to)	621-626
Number of pages	6
Journal	European Journal of Finance
Volume	28
Issue number	7
DOIs	https://doi.org/10.1080/1351847X.2022.2060755
State	Published - 2022

Keywords

Hawkes process
asset pricing
contagion
financial clustering
financial market
financial risk

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10.1080/1351847X.2022.2060755

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title = "Hawkes processes in finance: market structure and impact",

keywords = "Hawkes process, asset pricing, contagion, financial clustering, financial market, financial risk",

author = "Jing Chen and Nick Taylor and Steve Yang and Qian Han",

year = "2022",

doi = "10.1080/1351847X.2022.2060755",

language = "English",

volume = "28",

pages = "621--626",

number = "7",

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TY - JOUR

T1 - Hawkes processes in finance

T2 - market structure and impact

AU - Chen, Jing

AU - Taylor, Nick

AU - Yang, Steve

AU - Han, Qian

PY - 2022

Y1 - 2022

KW - Hawkes process

KW - asset pricing

KW - contagion

KW - financial clustering

KW - financial market

KW - financial risk

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U2 - 10.1080/1351847X.2022.2060755

DO - 10.1080/1351847X.2022.2060755

M3 - Article

AN - SCOPUS:85131579115

SN - 1351-847X

VL - 28

SP - 621

EP - 626

JO - European Journal of Finance

JF - European Journal of Finance

IS - 7

ER -

Hawkes processes in finance: market structure and impact

Keywords

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