Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data
Metadata only
Datum
2015-08Typ
- Journal Article
Publikationsstatus
publishedExterne Links
Zeitschrift / Serie
Quantitative FinanceBand
Seiten / Artikelnummer
Verlag
RoutledgeThema
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; G14Organisationseinheit
03738 - Sornette, Didier (emeritus) / Sornette, Didier (emeritus)
Anmerkungen
Published online by Taylor & Francis. Received 11 November 2013, Accepted 10 November 2014, Published online 11 May 2015.