Editors' foreword: Special issue of Quantitative Finance on 'Hawkes Processes in Finance'

Citation

Chen M, Hawkes A, Khashanah K, McMillan D, Rosenbaum M, Scalas E & Yang S (2018) Editors' foreword: Special issue of Quantitative Finance on 'Hawkes Processes in Finance'. Quantitative Finance, 18 (2), pp. 191-192. https://doi.org/10.1080/14697688.2018.1404804

Abstract
First paragraph: Since the invention of Hawkes processes in the early 1970s many researchers, including the pioneer seismologists, have studied applications over a very wide range of topics. However, these stochastic processes with a substantial modelling advantage were only noticed in finance research from 2005. Since then there has been a rapid expansion of papers applying Hawkes processes to diverse problems in finance. But there is still great scope to make them become standard financial econometric tools and we, as the panel of guest editors, felt that it would be both valuable and timely to have a special journal issue treating a variety of financial applications. Happily, when we approached the Editors-in-Chief of Quantitative Finance they were extremely supportive, and the result is this issue with a broad range of interesting papers.

Journal
Quantitative Finance: Volume 18, Issue 2

People

Professor David McMillan

Professor in Finance, Accounting & Finance