Self-Exciting Point Processes and Applications to Finance | Hanlon Financial Systems Center

Self-Exciting Point Processes and Applications to Finance

Self-Exciting Point Processes and Applications to Finance

seminar date: 
Thursday, March 10, 2016 - 5:45pm
seminar location: 
Lingjiong Zhu, Florida State University

Self-exciting point processes are simple point processes with long memory, clustering effect and are in general non-Markovian. In many contexts, self-exciting point processes can model the complex systems in the real world better than the standard Poisson processes. We will discuss the Hawkes process, the most studied self-exciting point process in the literature. We will talk about the large time limit theorems and asymptotics in different regimes. The applications to finance will be discussed. In particular, we will give an example studying the dynamics of order positions in limit order books.



Lingjiong Zhu grew up in Shanghai and graduated from Shanghai High School in 2005. His academic career started at University of Cambridge, where he got First Class Honours BA in Mathematics in 2008. Then he moved to New York and obtained his PhD in 2013 at New York University's Courant Institute of Mathematical Sciences, where he studied with Prof. S. R. S. Varadhan.

After a stint at Morgan Stanley, he spent a year and half as Dunham Jackson Assistant Professor at University of Minnesota before joining Florida State University in August 2015 as a tenure-track Assistant Professor. He has been working on self-exciting point processes, random graphs, and their applications to finance and social networks. He has also been working on nonparametric structural models in credit risk, dynamic budget allocations in operational risk management, short maturity asymptotic for Asian options, phase transitions in stochastic volatility models, dynamics of order positions in limit order books, transform analysis of Markov processes for option pricing, optimal investment in dual risk models.

The Financial Engineering Seminar Series is a centerpiece of the graduate Financial Engineering program.  Its mandate is to arrange talks on current research and industry trends in financial engineering and quantitative finance that will be of interest to those who work in both industry and academia. This event is sponsored by the School of Systems & Enterprises, Financial Engineering Division.