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

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Publication:4619496

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




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