Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data
Filimonov, Vladimir A.
- Journal Article
Journal / seriesQuantitative Finance
Pages / Article No.
SubjectHawkes process; Poisson process; Endogeneity; Reflexivity; Branching ratio; Outliers; Memory kernel; High-frequency data; Critically; Statistical biases; Power laws; Regime shifts; C14; C15; C41; C63; G12; G14
Organisational unit03738 - Sornette, Didier
NotesPublished online by Taylor & Francis. Received 11 November 2013, Accepted 10 November 2014, Published online 11 May 2015.
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