Hawkes Processes and High-Frequency Market Impact: In-Depth Analysis

This review is a comprehensive analysis of Hawkes processes and its application to high-frequency financial markets. In particular the paper, explores how Hawkes processes, as self-exciting point processes, are used to model market impact, liquidity, volatility clustering, and price dynamics in high-frequency trading environments. The paper builds on mathematical fundamentals of the Hawkes processes. Furthermore, the paper discusses how the integration of Hawkes process with various stochastic models in quantitative finance. The paper will showcase the importance of such models in understanding the dynamics of modern financial markets.