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OpenAlex Citation Counts

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OpenAlex is a bibliographic catalogue of scientific papers, authors and institutions accessible in open access mode, named after the Library of Alexandria. It's citation coverage is excellent and I hope you will find utility in this listing of citing articles!

If you click the article title, you'll navigate to the article, as listed in CrossRef. If you click the Open Access links, you'll navigate to the "best Open Access location". Clicking the citation count will open this listing for that article. Lastly at the bottom of the page, you'll find basic pagination options.

Requested Article:

Hawkes jump-diffusions and finance: a brief history and review
Alan G. Hawkes
European Journal of Finance (2020) Vol. 28, Iss. 7, pp. 627-641
Open Access | Times Cited: 33

Showing 1-25 of 33 citing articles:

Time-averaging and nonergodicity of reset geometric Brownian motion with drift
Deepak Vinod, Andrey G. Cherstvy, Ralf Metzler, et al.
Physical review. E (2022) Vol. 106, Iss. 3
Closed Access | Times Cited: 32
Universality of delay-time averages for financial time series: analytical results, computer simulations, and analysis of historical stock-market prices
Stefan Ritschel, Andrey G. Cherstvy, Ralf Metzler
Journal of Physics Complexity (2021) Vol. 2, Iss. 4, pp. 045003-045003
Open Access | Times Cited: 22
Unsupervised expectation-maximization algorithm initialization for mixture models: A complex network-driven approach for modeling financial time series
Carlo Mari, Cristiano Baldassari
Information Sciences (2022) Vol. 617, pp. 1-16
Closed Access | Times Cited: 9
A review on Poisson, Cox, Hawkes, shot-noise Poisson and dynamic contagion process and their compound processes
Jiwook Jang, Rosy Oh
Annals of Actuarial Science (2020) Vol. 15, Iss. 3, pp. 623-644
Closed Access | Times Cited: 14
Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes
Alexander Wehrli, Spencer Wheatley, Didier Sornette
Quantitative Finance (2021) Vol. 21, Iss. 5, pp. 729-752
Closed Access | Times Cited: 12
The Heston–Queue-Hawkes process: A new self-exciting jump–diffusion model for options pricing, and an extension of the COS method for discrete distributions
Luis Antonio Souto Arias, Pasquale Cirillo, Cornelis W. Oosterlee
Journal of Computational and Applied Mathematics (2024) Vol. 454, pp. 116177-116177
Open Access | Times Cited: 1
Structural credit risk models with stochastic default barriers and jump clustering using Hawkes jump-diffusion processes
Puneet Pasricha, Dharmaraja Selvamuthu, Paola Tardelli
OPSEARCH (2024)
Open Access | Times Cited: 1
Hawkes processes in finance: market structure and impact
Jing Chen, Nick Taylor, Steve Y. Yang, et al.
European Journal of Finance (2022) Vol. 28, Iss. 7, pp. 621-626
Open Access | Times Cited: 7
Anomaly detection in stock market indices with neural networks
Lucian-Liviu Albu, Radu Lupu
Journal of Financial Studies (2020) Vol. 5, Iss. 9, pp. 10-23
Open Access | Times Cited: 8
Long Horizon Forecasting with Temporal Point Processes
Prathamesh Deshpande, Kamlesh Marathe, Abir De, et al.
(2021), pp. 571-579
Open Access | Times Cited: 7
A Preconditioned Iterative Method for a Multi-State Time-Fractional Linear Complementary Problem in Option Pricing
Xu Chen, Xinxin Gong, Siu‐Long Lei, et al.
Fractal and Fractional (2023) Vol. 7, Iss. 4, pp. 334-334
Open Access | Times Cited: 2
2T-POT Hawkes model for left- and right-tail conditional quantile forecasts of financial log returns: Out-of-sample comparison of conditional EVT models
Matthew F. Tomlinson, David Greenwood, Marcin Mucha‐Kruczyński
International Journal of Forecasting (2023) Vol. 40, Iss. 1, pp. 324-347
Open Access | Times Cited: 2
Joint calibration of VIX and VXX options: does volatility clustering matter?
Shan Lu
European Journal of Finance (2023), pp. 1-32
Open Access | Times Cited: 2
A Fractional Hawkes Process for Illiquidity Modeling
Jean-Loup Dupret, Donatien Hainaut
SSRN Electronic Journal (2022)
Closed Access | Times Cited: 3
Hawkes Processes in Energy Markets: Modelling, Estimation and Derivatives Pricing
Riccardo Brignone, Luca Gonzato, Carlo Sgarra
(2024), pp. 41-72
Closed Access
How One Country's Policy Rate Changes are Induced by Another: A Linear Hawkes Process Approach
Ping Chen Tsai, Chi Feng Tzeng, Cheoljun Eom
(2024)
Closed Access
Optimal Claim-Dependent Proportional Reinsurance Under a Self-Exciting Claim Model
Fan Wu, Yang Shen, Xin Zhang, et al.
Journal of Optimization Theory and Applications (2024) Vol. 201, Iss. 3, pp. 1229-1255
Closed Access
Editorial A Tribute to Professor Geoffrey Alan Hawkes (19 September 1938–9 November 2023)
Jing Chen
Journal of Agricultural Biological and Environmental Statistics (2024)
Open Access
A fractional Hawkes process for illiquidity modeling
Jean-Loup Dupret, Donatien Hainaut
Mathematics and Financial Economics (2024)
Closed Access
Numerical methods in financial mathematics with applications to option pricing and anomaly detection
Luis Antonio Souto Arias
(2024)
Open Access
Multiple stocks recommendation: a spatio-temporal hypergraph learning approach
Xin Kong, Chao Luo, Gao Baozhong
Applied Intelligence (2024) Vol. 54, Iss. 8, pp. 6466-6482
Closed Access
A Preconditioned Policy–Krylov Subspace Method for Fractional Partial Integro-Differential HJB Equations in Finance
Xu Chen, Xinxin Gong, Youfa Sun, et al.
Fractal and Fractional (2024) Vol. 8, Iss. 6, pp. 316-316
Open Access
Quantum Majorization in Market Crash Prediction
J Rhet Montana, Luis Antonio Souto Arias, Pasquale Cirillo, et al.
Risks (2024) Vol. 12, Iss. 12, pp. 204-204
Open Access
Asymmetric excitation of left- and right-tail extreme events probed using a Hawkes model: Application to financial returns
Matthew F. Tomlinson, David Greenwood, Marcin Mucha‐Kruczyński
Physical review. E (2021) Vol. 104, Iss. 2
Open Access | Times Cited: 3
Pricing path-dependent options under the Hawkes jump diffusion process
Xingchun Wang
Journal of Industrial and Management Optimization (2022) Vol. 19, Iss. 3, pp. 1911-1930
Open Access | Times Cited: 2
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