Title:

Hawkes Process: Fast Calibration, Application to Trade Clustering, and Diffusive Limit

Authors:

José da Fonseca (Auckland U Technology)
Riadh Zaatour (Ecole Centrale Paris)

Journal:

Journal of Futures Markets

Year:

2014

Volume:

34

Pages:

548-579

JEL codes:

C58 - Financial Econometrics
G12 - Asset Pricing; Trading volume; Bond Interest Rates
G13 - Contingent Pricing; Futures Pricing