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In this paper we give an overview of big data modelling and applications in finance. The models include semi-Markov, general semi-Markov, Hawkes, non-linear Hawkes, general compound Hawkes, exponential general compound Hawkes and multivariate general compound Hawkes models. Applications are given to real big data such as LOBster (5 stocks, 21/06/2012), Deutsche Boerse Group (15 stocks, 23/09/2013), 5 stocks data from Cartea et al. book and CISCO data (3/11/2014).

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Stochastic Modelling and Applications of Big Data in Finance

  • 会议论文

  • 发表日期：

    2026年

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  • Anatoliy Swishchuk

摘要

In this paper we give an overview of big data modelling and applications in finance. The models include semi-Markov, general semi-Markov, Hawkes, non-linear Hawkes, general compound Hawkes, exponential general compound Hawkes and multivariate general compound Hawkes models. Applications are given to real big data such as LOBster (5 stocks, 21/06/2012), Deutsche Boerse Group (15 stocks, 23/09/2013), 5 stocks data from Cartea et al. book and CISCO data (3/11/2014).