Alan Hawkes

Alan Geoffrey Hawkes died on 9 November 2023. He was Emeritus Professor at the Hawkes Centre for Empirical Finance at the School of Management of Swansea University in Wales.

Swansea University has a webpage with a short, but comprehensive, biography: https://www.swansea.ac.uk/staff/a.g.hawkes/. There we learn that he joined Swansea in 1974, after stints at UCL and Durham, to lead a new Department of Statistics. At the time, Alan had already published his seminal papers on those self-exciting point processes that later came to be known as Hawkes processes. It is instructive to look at the time evolution of the citations of his 1971 paper, “Spectra of some self-exciting and mutually exciting point processes” (Biometrika, 58(1), pp83–90). This paper collected less than 100 citations from 1971 to 2000 and more than 2400 citations from 2001 to 2024 (data based on a Google Scholar search on 12 March 2024). This is one of many examples of initially neglected papers that later become citation classics, and it is a quite common event in mathematics.

Among the reasons for the explosion of interest in Hawkes processes is their applicability in finance. It is in this context that I met Alan in Cardiff, by chance, some years ago. In 2015, I was in Cardiff looking for a restaurant for dinner, when I was called by Jing (Maggie) Chen from the door of a Chinese restaurant. She kindly invited me to join her—and Alan was sitting at her table. In Swansea, Chen and Hawkes had been working on the application of Hawkes processes in finance for a while, and out of this chance encounter a nice scientific collaboration was born. This led to the publication of two papers and a book chapter. Moreover, with Alan and Maggie, we edited a special issue of Quantitative Finance (volume 18, issue 2, 2018) together with Khaldoun Khashanah, David McMillan, Mathieu Rosenbaum, and Steve Yang. I sorely miss the periodic meetings with Alan and Maggie that continued online during the pandemic period and up to very recent times. During these meetings, we also planned to write a book on Hawkes processes in finance, but, unfortunately, this project could not be completed before Alan’s departure.

Alan gained his Bachelor of Science in Mathematics with honors from King’s College, London in 1960, and his Doctor of Philosophy at UCL in 1965 with a dissertation on “Stochastic Problems in Traffic Flow.” His supervisor was Maurice Stevenson Bartlett. According to the mathematics genealogy projects, Wishart, Pearson and Galton are among his academic ancestors. Alan initially worked as a lecturer in UCL, before moving to Durham as a reader in the Department of Mathematics for five years. Then in 1974 he moved to Swansea as the Head of a new Department of Statistics. Ten years later, after a merger, Swansea’s Department of Statistics became the Department of Management Science and Statistics, with Alan acting as deputy head. This school later became known as the European Business Management School (EBMS); Alan was Head of School in 1996–98, before he retired, becoming Emeritus Professor of what became the School of Management.

Returning to his early career, Alan began work on queuing systems. The transition to point processes from queues was only natural, and it was after this transition that the seminal papers on self-exciting processes of the 1970s were written. Until 15–20 years ago, these works did not attract much interest, except for seismologists who used them in a modified form known as epidemic‐type aftershock sequence (ETAS) models for earthquakes. An academic obituary on Alan Geoffrey Hawkes would not be complete without mentioning his joint work with David Colquhoun, FRS, on stochastic models of ion channels. Indeed, he devoted 35 years to this topic. He also worked on system reliability before turning to the application of Hawkes processes in finance after meeting Maggie Chen in 2012. I would like to mention three international workshops on “Hawkes Processes in Finance”: in Cardiff in 2016, in Swansea in 2018 on the occasion of Alan’s 80th birthday celebration, and in Hoboken, New Jersey, in 2019.

Having moved to Rome during 2023, I was unable to attend Alan’s funeral in person, but watched it online; it took place on 22 November 2023. I had time to reflect on Alan’s legacy. It was a great pleasure and honour to work with him in his last years. He took an active part in the research, correcting errors and suggesting references and offering encouragement.

I believe Alan will be remembered for his legacy in Hawkes processes that are named after him. They are extremely versatile and, nowadays, they find applications in many areas of applied sciences.

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Written by Enrico Scalas, Department of Statistical Sciences, Sapienza University of Rome