英文标题：
《Hawkes processes for credit indices time series analysis: How random are
  trades arrival times?》
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作者：
Achraf Bahamou, Maud Doumergue, Philippe Donnat
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最新提交年份：
2019
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英文摘要：
  Targeting a better understanding of credit market dynamics, the authors have studied a stochastic model named the Hawkes process. Describing trades arrival times, this kind of model allows for the capture of self-excitement and mutual interactions phenomena. The authors propose here a simple yet conclusive method for fitting multidimensional Hawkes processes with exponential kernels, based on a maximum likelihood non-convex optimization. The method was successfully tested on simulated data, then used on new publicly available real trading data for three European credit indices, thus enabling quantification of self-excitement as well as volume impacts or cross indices influences.
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中文摘要：
为了更好地理解信贷市场动态，作者研究了一个名为霍克斯过程的随机模型。通过描述交易到达时间，这种模型可以捕捉自我兴奋和相互作用现象。本文提出了一种基于极大似然非凸优化的指数核多维Hawkes过程拟合方法。该方法成功地在模拟数据上进行了测试，然后在三个欧洲信贷指数的新公开真实交易数据上使用，从而能够量化自我兴奋以及交易量影响或交叉指数影响。
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分类信息：

一级分类：Statistics        统计学
二级分类：Applications        应用程序
分类描述：Biology, Education, Epidemiology, Engineering, Environmental Sciences, Medical, Physical Sciences, Quality Control, Social Sciences
生物学，教育学，流行病学，工程学，环境科学，医学，物理科学，质量控制，社会科学
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一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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