Habyarimana, Cassien; Aduda, Jane A.; Scalas, Enrico; Chen, Jing; Hawkes, Alan G.; Polito, Federico A fractional Hawkes process. II: Further characterization of the process. (English) Zbl 1527.60037 Physica A 615, Article ID 128596, 11 p. (2023). MSC: 60G55 PDFBibTeX XMLCite \textit{C. Habyarimana} et al., Physica A 615, Article ID 128596, 11 p. (2023; Zbl 1527.60037) Full Text: DOI arXiv
Chen, J.; Hawkes, A. G.; Scalas, E. A fractional Hawkes process. (English) Zbl 1468.60047 Beghin, Luisa (ed.) et al., Nonlocal and fractional operators. Selected papers based on the presentations at the international workshop, Rome, Italy, April 12–13, 2019. Cham: Springer. SEMA SIMAI Springer Ser. 26, 121-131 (2021). MSC: 60G22 60G55 PDFBibTeX XMLCite \textit{J. Chen} et al., SEMA SIMAI Springer Ser. 26, 121--131 (2021; Zbl 1468.60047) Full Text: DOI arXiv
Yang, Steve Y.; Liu, Anqi; Chen, Jing; Hawkes, Alan Applications of a multivariate Hawkes process to joint modeling of sentiment and market return events. (English) Zbl 1400.91569 Quant. Finance 18, No. 2, 295-310 (2018). MSC: 91G10 60G55 PDFBibTeX XMLCite \textit{S. Y. Yang} et al., Quant. Finance 18, No. 2, 295--310 (2018; Zbl 1400.91569) Full Text: DOI Link
Chen, J.; Hawkes, A. G.; Scalas, E.; Trinh, M. Performance of information criteria for selection of Hawkes process models of financial data. (English) Zbl 1405.62137 Quant. Finance 18, No. 2, 225-235 (2018). MSC: 62P05 60G55 62B10 62M20 PDFBibTeX XMLCite \textit{J. Chen} et al., Quant. Finance 18, No. 2, 225--235 (2018; Zbl 1405.62137) Full Text: DOI arXiv Link
Khashanah, Khaldoun; Chen, Jing; Hawkes, Alan A slightly depressing jump model: intraday volatility pattern simulation. (English) Zbl 1400.91551 Quant. Finance 18, No. 2, 213-224 (2018). MSC: 91G10 60G55 PDFBibTeX XMLCite \textit{K. Khashanah} et al., Quant. Finance 18, No. 2, 213--224 (2018; Zbl 1400.91551) Full Text: DOI Link