Applications of a multivariate Hawkes process to joint modeling of sentiment and market return events (Q4554425)
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scientific article; zbMATH DE number 6979463
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| English | Applications of a multivariate Hawkes process to joint modeling of sentiment and market return events |
scientific article; zbMATH DE number 6979463 |
Statements
Applications of a multivariate Hawkes process to joint modeling of sentiment and market return events (English)
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14 November 2018
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point process
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Hawkes process
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investor sentiment
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return jumps
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news sentiment
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0.7279282212257385
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0.7083190083503723
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0.7067729830741882
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0.6982722282409668
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