{
  "abstract": "We develop a parametric estimation framework for self-exciting Hawkes processes whose intensity functions admit a parametric form. The estimation procedure is based on ordinary least squares. To apply the least squares estimation, we restrict to a kernel class that can be expressed as a sum of the product of a parameter and a function. We first establish the central limit theorem for the proposed estimator. We then show the consistency of the asymptotic variance estimator. Finally, we introduce a Wald test statistic and derive its asymptotic distribution. We apply the proposed methodology to trade times from high-frequency financial asset data. Our empirical results provide evidence for three heterogeneous trader types. In particular, we identify two trader types as high-frequency traders and one trader type as fundamental trader.",
  "abstract_shown": true,
  "affiliations": [],
  "article_type": null,
  "arxiv": "2609.03696",
  "author_total": 2,
  "authors": [
    {
      "name": "Benjamin Poignard"
    },
    {
      "name": "Yoann Potiron"
    }
  ],
  "bibtex": "https://research.draconitic.com/paper/6ah3nhm20924f.bib",
  "cited_by": 0,
  "doi": "10.48550/arxiv.2609.03696",
  "fulltext_url": null,
  "id": "6ah3nhm20924f",
  "issns": [],
  "landing_url": "https://arxiv.org/abs/2609.03696",
  "language": null,
  "licence": "LicenseRef-arXiv-nonexclusive-1.0",
  "licence_label": "arXiv licence",
  "licence_source": "article",
  "licence_url": "http://arxiv.org/licenses/nonexclusive-distrib/1.0/",
  "metadata_licence": "CC0-1.0",
  "native_subjects": [
    [
      "arxiv",
      "stat.ME"
    ],
    [
      "openalex",
      "2003|Stochastic processes and financial applications"
    ]
  ],
  "openalex": "W7208744231",
  "pdf_url": "https://arxiv.org/pdf/2609.03696",
  "pmcid": null,
  "pmid": null,
  "published": "2026-09-03",
  "publisher": null,
  "ris": "https://research.draconitic.com/paper/6ah3nhm20924f.ris",
  "sources": [
    {
      "first_seen": "2026-10-30T12:18:42Z",
      "native_id": "2609.03696",
      "source": "arxiv",
      "url": "https://arxiv.org/abs/2609.03696"
    }
  ],
  "subjects": [
    {
      "field": "mathematics",
      "origin": "arxiv:stat.ME",
      "subfield": "statistics"
    }
  ],
  "title": "Parametric estimation of Hawkes processes based on ordinary least squares",
  "title_text": "Parametric estimation of Hawkes processes based on ordinary least squares",
  "type": "preprint",
  "updated_at": "2026-10-30T12:18:42Z",
  "url": "https://research.draconitic.com/paper/6ah3nhm20924f",
  "venue": "arXiv",
  "versions": []
}