The limits of statistical significance of Hawkes processes fitted to financial data (Q5001105): Difference between revisions

@@ Property / author @@
-Damien Challet
@@ Property / author: Damien Challet / rank @@
-Normal rank
@@ Property / author @@
+Damien Challet
@@ Property / author: Damien Challet / rank @@
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+LBFGS-B
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@@ Property / arXiv ID: 1406.3967 / rank @@
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@@ Property / cites work @@
+Modelling microstructure noise with mutually exciting point processes
+Normal rank
@@ Property / cites work @@
+Hawkes model for price and trades high-frequency dynamics
+Normal rank
@@ Property / cites work @@
+First- and Second-Order Statistics Characterization of Hawkes Processes and Non-Parametric Estimation
+Normal rank
@@ Property / cites work @@
+Modelling systemic price cojumps with Hawkes factor models
+Normal rank
@@ Property / cites work @@
+Modelling security market events in continuous time: intensity based, multivariate point process models
+Normal rank
@@ Property / cites work @@
+A Limited Memory Algorithm for Bound Constrained Optimization
+Normal rank
@@ Property / cites work @@
+Estimating value-at-risk: a point process approach
+Normal rank
@@ Property / cites work @@
+Maximum likelihood identification of neural point process systems
+Normal rank
@@ Property / cites work @@
+Hawkes branching point processes without ancestors
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
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@@ Property / cites work @@
+Affine Point Processes and Portfolio Credit Risk
@@ Property / cites work: Affine Point Processes and Portfolio Credit Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data
+Normal rank
@@ Property / cites work @@
+Spectra of some self-exciting and mutually exciting point processes
+Normal rank
@@ Property / cites work @@
+Limit theorems for nearly unstable Hawkes processes
+Normal rank
@@ Property / cites work @@
+Long-Time Behavior of a Hawkes Process--Based Limit Order Book
+Normal rank
@@ Property / cites work @@
+On a measure of lack of fit in time series models
@@ Property / cites work: On a measure of lack of fit in time series models / rank @@
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@@ Property / cites work @@
+Self-Exciting Point Process Modeling of Crime
@@ Property / cites work: Self-Exciting Point Process Modeling of Crime / rank @@
+Normal rank
@@ Property / cites work @@
+Maximum likelihood estimation of Hawkes' self-exciting point processes
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@@ Property / cites work @@
+Adaptive estimation for Hawkes processes; application to genome analysis
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@@ Property / cites work @@
+Q5649230
@@ Property / cites work: Q5649230 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:5001105