Multivariate quadratic Hawkes processes—part I: theoretical analysis

DOI10.1080/14697688.2023.2178322zbMath1519.91235arXiv2206.10419MaRDI QIDQ6158435

Michael Benzaquen, Unnamed Author, Jean-Philippe Bouchaud

Publication date: 20 June 2023

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

Full work available at URL: https://arxiv.org/abs/2206.10419

zbMATH Keywords

multivariate QHawkes

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Financial markets (91G15)

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