The limits of statistical significance of Hawkes processes fitted to financial data

DOI10.1080/14697688.2015.1068442zbMath1469.91050arXiv1406.3967OpenAlexW1514046945MaRDI QIDQ5001105

Mehdi Lallouache, Damien Challet

Publication date: 16 July 2021

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

Full work available at URL: https://arxiv.org/abs/1406.3967

zbMATH Keywords

time serieskernel estimationpoint processesinference from stochastic processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Financial markets (91G15)

Related Items (11)

Long-Time Behavior of a Hawkes Process--Based Limit Order Book ⋮ Performance of information criteria for selection of Hawkes process models of financial data ⋮ Classification of flash crashes using the Hawkes(p,q)framework ⋮ Marked point processes and intensity ratios for limit order book modeling ⋮ Hawkes processes in insurance: risk model, application to empirical data and optimal investment ⋮ Order Book Queue Hawkes Markovian Modeling ⋮ Testing the causality of Hawkes processes with time reversal ⋮ Analyzing order flows in limit order books with ratios of Cox-type intensities ⋮ The endo–exo problem in high frequency financial price fluctuations and rejecting criticality ⋮ Inference for ETAS models with non-Poissonian mainshock arrival times ⋮ Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes

Uses Software

• LBFGS-B

Cites Work

• Unnamed Item
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