8Compound Hawkes processes in limit order books
1. Introduction
The Hawkes process (HP) is named after its creator Alan Hawkes (1971, 1974). The HP is a so-called “self-exciting point process” which means that it is a point process with a stochastic intensity which, through its dependence on the history of the process, captures the temporal and cross sectional dependence of the event arrival process as well as the ‘self-exciting’ property observed in empirical analysis. HPs have been used for many applications, such as modeling neural activity, genetics Cartensen (2010), occurrence of crime, bank defaults, and earthquakes.
The most recent application of HPs ...
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