标题： 金融中的霍克斯过程 显示英文标题

标题： Hawkes processes in finance

摘要： 在本文中，我们提出了一篇关于最近学术文献的综述，这些文献专注于霍克斯过程在金融领域的应用。 霍克斯过程构成了一类特殊的多变量点过程，在过去十年中，它在实证高频金融领域变得非常流行。 在回顾了定义和特性之后，我们综述了它们在高频金融中解决各种不同问题的主要实证应用。 由于其高度的灵活性和通用性，我们展示了它们已被成功应用于多种问题，如在交易数据层面估计波动率、估计市场稳定性、考虑系统性风险传染、设计最优执行策略或捕捉完整订单簿的动力学。 显示英文摘要

摘要： In this paper we propose an overview of the recent academic literature devoted to the applications of Hawkes processes in finance. Hawkes processes constitute a particular class of multivariate point processes that has become very popular in empirical high frequency finance this last decade. After a reminder of the main definitions and properties that characterize Hawkes processes, we review their main empirical applications to address many different problems in high frequency finance. Because of their great flexibility and versatility, we show that they have been successfully involved in issues as diverse as estimating the volatility at the level of transaction data, estimating the market stability, accounting for systemic risk contagion, devising optimal execution strategies or capturing the dynamics of the full order book.