Hawkes processes in Finance | Hanlon Financial Systems Center

Hawkes processes in Finance

Hawkes processes in Finance

seminar date: 
Thursday, November 6, 2014 - 5:00pm
seminar location: 
BC122
Prof. Alan Hawkes
Abstract: 

Since about 2005, Hawkes Processes have been widely applied in the finance literature. In this talk I will give an introduction to the main properties of these processes; discuss a variety of examples of their application in finance; finally, give a brief outline of research currently being undertaken with colleagues in Swansea.

 

Bio: 

After obtaining First Class Honors in Mathematics at King's College London, Alan moved up the road to UCL where he completed a PhD on queuing theory applied to road traffic (supervisor M.S. Bartlett), while also lecturing in the Statistics Department. He was then, for five years, Reader in Mathematical Statistics at Durham University before becoming Professor of Statistics at Swansea in 1974 — still there as Honorary Research Professor. He has served on the Council of the Royal Statistical Society and the International Committee of the Biometric Society.

 In the early 1970s Alan published a series of five articles on self-exciting and mutually exciting point processes that later came to be known in the literature as Hawkes Processes. These were quickly taken up by people analyzing earthquake sequences.

Meanwhile, Alan moved on to a variety of other things: mainly applied stochastic modeling such as systems reliability. His major work has been pioneering the development of stochastic models for the dynamics of ion channels in biological membranes, in conjunction with David Colquhoun FRS, Professor of Pharmacology at UCL.  These are essential links in the communication system carrying messages around the body, and are important sites of drug action. This work constitutes an important scientific achievement that is very highly cited.

A few years ago Alan was surprised to discover that, since about 2000, Hawkes Processes started appearing all over the place to describe gang warfare in LA, burglaries, genetics, e-marketing, etc. as well as being a fruitful subject of further theoretical development by mathematicians. Since about 2005, the most active field of application has been in the finance literature.

In 2012, Dr. Maggie Chen persuaded Alan to rekindle his interest in Hawkes Processes, learn something about finance and make a contribution to the research of the finance group in Swansea. He is enjoying it.