• A
  • A
  • A
  • АБВ
  • АБВ
  • АБВ
  • A
  • A
  • A
  • A
  • A
Обычная версия сайта
  • RU
  • EN
  • HSE University
  • Publications
  • Book chapter
  • Hawkes processes for forecasting currency crashes: Evidence from Russia
  • RU
  • EN
Расширенный поиск
Высшая школа экономики
Национальный исследовательский университет
Priority areas
  • business informatics
  • economics
  • engineering science
  • humanitarian
  • IT and mathematics
  • law
  • management
  • mathematics
  • sociology
  • state and public administration
by year
  • 2027
  • 2026
  • 2025
  • 2024
  • 2023
  • 2022
  • 2021
  • 2020
  • 2019
  • 2018
  • 2017
  • 2016
  • 2015
  • 2014
  • 2013
  • 2012
  • 2011
  • 2010
  • 2009
  • 2008
  • 2007
  • 2006
  • 2005
  • 2004
  • 2003
  • 2002
  • 2001
  • 2000
  • 1999
  • 1998
  • 1997
  • 1996
  • 1995
  • 1994
  • 1993
  • 1992
  • 1991
  • 1990
  • 1989
  • 1988
  • 1987
  • 1986
  • 1985
  • 1984
  • 1983
  • 1982
  • 1981
  • 1980
  • 1979
  • 1978
  • 1977
  • 1976
  • 1975
  • 1974
  • 1973
  • 1972
  • 1971
  • 1970
  • 1969
  • 1968
  • 1967
  • 1966
  • 1965
  • 1964
  • 1963
  • 1958
  • More
Subject
News
October 19, 2026
'Cultural Studies Seeks to Understand What Lies Beneath the Surface of Everyday Things'
Maxim Zhiganov has been exploring different aspects of sound for many years—first in relation to his native Perm and then on a broader, global scale. In this interview for the HSE Young Scientists project, he talks about sound maps, the special issue of the journal Logos, and why it is important to make the familiar less clear and obvious.
October 14, 2026
At HSE University–St Petersburg, Experts Discuss How AI Changes Tourist Routes and Cultural Heritage
Neural networks are no longer simple travel assistants; now they decide what to include on the route and what to skip. Artificial intelligence changes how people perceive a place and shapes the image of tourist centres. At the II International Scientific and Practical Conference ’Information Technologies in the Preservation and Promotion of Cultural Heritage,’ researchers discussed who controls algorithmic solutions and in what ways, and whether authentic traditions get lost in them.
October 12, 2026
Road Injuries Leading Cause of Death Among Men Aged 10 to 39
Worldwide, road injuries are the leading cause of death among males aged 10–39. An international team of researchers reached this conclusion as part of the Global Burden of Disease Study 2023, analysing data from 204 countries between 1990 and 2023. Their findings have been published in The Lancet Public Health, with HSE University Professor Vasily Vlassov listed among the collaborators.

 

Have you spotted a typo?
Highlight it, click Ctrl+Enter and send us a message. Thank you for your help!

Publications
  • Books
  • Articles
  • Chapters of books
  • Working papers
  • Report a publication
  • Research at HSE

?

Hawkes processes for forecasting currency crashes: Evidence from Russia

P. 1182–1188.
Egorova L., Климюк И. Ю.

We consider models for predicting shocks in a foreign exchange market that take into account the endogenous nature of such crashes on the basis of the Hawkes processes. The intensity of the Hawkes processes depends on previous events that allow modeling the clustering effect and self-exciting behavior of returns after the crash. The models were tested on the USD/RUB currency pair.

Language: English
Full text
DOI
Text on another site
Keywords: foreign exchange marketCurrency crash riskHawkes processes
Publication based on the results of:
Modern context of decision making and data analysis methods: human factor, uncertainty, risks, network models, big data (2018)

In book

Procedia Computer Science
Vol. 122: 5th International Conference on Information Technology and Quantitative Management, ITQM 2017. , Elsevier, 2017.
Similar publications
Mutually exciting point processes with latency
Volkov V., Potiron Y., Journal of the American Statistical Association 2025 P. 1–28
A novel statistical approach to estimating latency, defined as the time it takes to learn about anevent and generate response to this event, is proposed. Our approach only requires amultidimensional point process describing event times, which circumvents the use of moredetailed datasets which may not even be available. We consider the class of parametric Hawkesmodels ...
Added: July 3, 2025
Time-Aware Item Weighting for the Next Basket Recommendations
Romanov A., Lashinin O., Ananyeva M. et al., , in: RecSys '23: Proceedings of the 17th ACM Conference on Recommender Systems.: Association for Computing Machinery (ACM), 2023. P. 985–992.
In this paper we study the next basket recommendation problem. Recent methods use different approaches to achieve better perfor- mance. However, many of them do not use information about the time of prediction and time intervals between baskets. To fill this gap, we propose a novel method, Time-Aware Item-based Weight- ing (TAIW), which takes timestamps ...
Added: September 27, 2023
Финансовые преступления в российском уголовном праве. Проблемы квалификации
Lyaskalo A., М.: Издательство Проспект, 2022.
The monograph presents the author's vision of the object, concept and system of financial crimes. The specifics of the composition, unfinished crime, complicity in a crime and circumstances excluding the criminality of an act in the context of a financial crime are considered. On examples from judicial practice, the most complex and practically relevant issues of ...
Added: April 11, 2022
Integration of the financial market sectors: factors, risks and management approaches
Slepov V. A., Kosov M., Chalova (Korotchenko) A. Y. et al., International Journal of Mechanical Engineering and Technology 2019 Vol. 10 No. 2 P. 1243–1250
The article examines the problem of the integration of the financial market sectors. An important feature of modern economic dynamics is the tendency to integrate the monetary, credit, currency, stock, and insurance sectors and to form a unified national financial market. The integration of the financial market sectors is the result of financial globalization development, ...
Added: August 18, 2021
Инвестирование на мировых финансовых рынках: применимы ли методы технического анализа?
Volodin S., Бинашев Б. Р., Вестник Российской академии естественных наук 2017 Т. 21 № 1 С. 27–37
Nowadays Russian investors have possibility to trade on world stock, foreign exchange and commodity markets. One of the widest methods, that traders use is technical analysis. On one hand, the tools and models of technical analysis are quite simple and it is easy to understand them for most of investors, so they are widely used. ...
Added: March 17, 2017
Сравнение эффективности технического анализа на валютном и фондовом рынках
Volodin S., Бинашев Б. Р., Аудит и финансовый анализ 2016 № 2 С. 408–415
Nowadays many people have important question – make investment in some shares, or save and multiply it , by buying foreign currencies? So to the different time moments we have different answers. Many investors to define moment to start trading use very popular method, this method is technical analysis. But can the most popular indicators ...
Added: May 18, 2016
  • About
  • About
  • Key Figures & Facts
  • Sustainability at HSE University
  • Faculties & Departments
  • International Partnerships
  • Faculty & Staff
  • HSE Buildings
  • HSE University for Persons with Disabilities
  • Public Enquiries
  • Studies
  • Admissions
  • Programme Catalogue
  • Undergraduate
  • Graduate
  • Exchange Programmes
  • Summer University
  • Summer Schools
  • Semester in Moscow
  • Business Internship
  • Research
  • International Laboratories
  • Research Centres
  • Research Projects
  • Monitoring Studies
  • Conferences & Seminars
  • Academic Jobs
  • Yasin (April) International Academic Conference on Economic and Social Development
  • Media & Resources
  • Publications by staff
  • HSE Journals
  • Publishing House
  • iq.hse.ru: commentary by HSE experts
  • Library
  • Economic & Social Data Archive
  • Video
  • HSE Repository of Socio-Economic Information
  • HSE1993–2026
  • Contacts
  • Copyright
  • Privacy Policy
  • Site Map
Edit