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

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Author
Filimonov, Vladimir A.
Sornette, Didier
Date
2015-08
Type
    Journal Article
Publication status
published
External links
Journal / series
Quantitative Finance
Volume
15(8)
Pages / Article No.
1293 - 1314
Publisher
Routledge
Subject
Hawkes 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 unit
03738 - Sornette, Didier (emeritus) / Sornette, Didier (emeritus)  
Notes
Published online by Taylor & Francis. Received 11 November 2013, Accepted 10 November 2014, Published online 11 May 2015.
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Citations
Cited 62 times in Scopus
ETH Bibliography
yes
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