Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data

DOI10.1080/14697688.2015.1032544zbMath1406.91440arXiv1308.6756OpenAlexW3125290923MaRDI QIDQ4619496

Vladimir Filimonov, Didier Sornette

Publication date: 6 February 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1308.6756

zbMATH Keywords

endogeneityoutlierscriticalityregime shiftsreflexivityPoisson processhigh-frequency datapower lawsmemory kernelHawkes processbranching ratiostatistical biases

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (16)

GP-ETAS: semiparametric Bayesian inference for the spatio-temporal epidemic type aftershock sequence model ⋮ Self-excited Ising game ⋮ Long-Time Behavior of a Hawkes Process--Based Limit Order Book ⋮ The role of volume in order book dynamics: a multivariate Hawkes process analysis ⋮ Classification of flash crashes using the Hawkes(p,q)framework ⋮ Sensitivity analysis for marked Hawkes processes: application to CLO pricing ⋮ Hawkes processes in insurance: risk model, application to empirical data and optimal investment ⋮ Order Book Queue Hawkes Markovian Modeling ⋮ The microstructural foundations of leverage effect and rough volatility ⋮ Accelerating the estimation of renewal Hawkes self-exciting point processes ⋮ On the universality of the volatility formation process: when machine learning and rough volatility agree ⋮ A switching microstructure model for stock prices ⋮ The endo–exo problem in high frequency financial price fluctuations and rejecting criticality ⋮ Inference for ETAS models with non-Poissonian mainshock arrival times ⋮ The limits of statistical significance of Hawkes processes fitted to financial data ⋮ Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes

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