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Hawkes processes and financial applications

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  • Full or part time
    Dr M Chen
  • Application Deadline
    Applications accepted all year round
  • Self-Funded PhD Students Only
    Self-Funded PhD Students Only

Project Description

Systemic risk modelling and market microstructure utilizing Hawkes processes and dynamic network approaches

Hawkes processes are a family of stochastic models to arrival of events in which the occurrence of any event would increase the intensity of further events occurring soon after. This has been applied into areas including ecology, crime prediction, neuroscience, social networks and terrorist acts and recently finance.

With substantial changes in complexity of the modern financial market and system and rise of high frequency trading, existing modelling frameworks are insufficient in accommodating features such as non-Gaussian characteristics including long or fat tails, extreme events and clustering etc. It also can’t respond well to big questions on financial instability shaken by more permanent damages from financial crises and/or temporary but disastrous losses from mini-flash crash (e.g. latest flash crash in sterling in early October, 2016).

This project, therefore, aims to answer novel but cutting edge questions in this field such as convergence of multivariate Hawkes processes, forecasting ability of incorporating Hawkes processes into various risk modelling, calibration of them etc.


Applicants should submit an application for postgraduate study via the online application service:

In the research proposal section of your application, please specify the project title and supervisors of this project.

If are applying for more than one Cardiff University project please note this in the research proposal section.

How good is research at Cardiff University in Mathematical Sciences?

FTE Category A staff submitted: 24.05

Research output data provided by the Research Excellence Framework (REF)

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