Showcase session

One Jump Ahead: The Application of Hawkes processes in Finance

Texas A&M University, College Station: 30th October

Dr Maggie Jing Chen

Senior Lecturer in Finance at Swansea University’s School of Management, Dr Maggie Jing Chen has research interests in liquidity provision, information dynamics and their relation to policy changes in financial markets.

To date, her research agenda has focused on modelling the effect of various liquidity measures on trading decisions in different segments of financial markets (e.g. Collateralized Debt Swaps (CDSs) and Bonds).

Her work has been carried out in both developed countries and emerging economies and has focused on the strategic finance and risk management interface in financial institutions.

Recently, she has been concentrating on applying Hawkes processes in forecasting financial bubbles, jumps and catastrophic risks.

Dr Chen has an international research reputation and has an extensive publication record. Her study on the link between CDSs and the current Eurozone sovereign debt crisis has been cited in the House of the Lord and the Organization for Economic Cooperation and Development (OECD) and her research was recently reported in the Financial Times.

She collaborates with scholars in the UK and overseas and is currently based in New York carrying out research with scholars at Columbia University.


Hawkes Processes

In the 1970s, Professor Alan Hawkes (Emeritus Professor at Swansea University's School of Management) developed a series of statistical and mathematical processes, now known as ‘Hawkes Processes’,

These mathematical models can be applied to the occurrence of series of events and show that the occurrence of any event increases the probability of subsequent events.

For many years the application of Hawkes Processes was mainly restricted to earthquakes, but in recent years their value has been recognised in other areas including neuroscience, the study of invasive banana trees, the recurrence of cancer tumours and even terrorist attacks in Iraq.

Applications have also been published in such diverse areas as e-marketing, wildfire hazards, spider colonies, counting whales, genetics and social interactions and they have even been used by some police forces to predict where crimes are likely to occur.

Recently the use of Hawkes Processes has focused on quantitative finance and this is a focus of research by academics in the School of Management who have developed a novel model incorporating a Hawkes Process which could be used to analyse market data and which could have commercial applications in areas such as asset pricing and the calculation of insurance premiums.