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
endogeneityoutlierscriticalityregime shiftsreflexivityPoisson processhigh-frequency datapower lawsmemory kernelHawkes processbranching ratiostatistical biases
Derivative securities (option pricing, hedging, etc.) (91G20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
Related Items (15)
Cites Work
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