Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes
DOI10.1080/14697688.2020.1838602zbMATH Open1479.91386OpenAlexW3129047435MaRDI QIDQ5014205FDOQ5014205
Alexander Wehrli, Spencer Wheatley, D. Sornette
Publication date: 1 December 2021
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2020.1838602
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Cited In (6)
- The limits of statistical significance of Hawkes processes fitted to financial data
- Classification of flash crashes using the Hawkes(p,q)framework
- Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics
- Transform analysis for Hawkes processes with applications in dark pool trading
- Nonlinear Poisson autoregression and nonlinear Hawkes processes
- Exogenous and endogenous price jumps belong to different dynamical classes
Uses Software
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