Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data
dc.contributor.author
Filimonov, Vladimir A.
dc.contributor.author
Sornette, Didier
dc.date.accessioned
2017-06-11T17:36:43Z
dc.date.available
2017-06-11T17:36:43Z
dc.date.issued
2015-08
dc.identifier.issn
1469-7688
dc.identifier.issn
1469-7696
dc.identifier.other
10.1080/14697688.2015.1032544
dc.identifier.uri
http://hdl.handle.net/20.500.11850/101131
dc.language.iso
en
dc.publisher
Routledge
dc.subject
Hawkes process
dc.subject
Poisson process
dc.subject
Endogeneity
dc.subject
Reflexivity
dc.subject
Branching ratio
dc.subject
Outliers
dc.subject
Memory kernel
dc.subject
High-frequency data
dc.subject
Critically
dc.subject
Statistical biases
dc.subject
Power laws
dc.subject
Regime shifts
dc.subject
C14
dc.subject
C15
dc.subject
C41
dc.subject
C63
dc.subject
G12
dc.subject
G14
dc.title
Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data
dc.type
Journal Article
ethz.journal.title
Quantitative Finance
ethz.journal.volume
15
ethz.journal.issue
8
ethz.pages.start
1293
ethz.pages.end
1314
ethz.notes
Published online by Taylor & Francis. Received 11 November 2013, Accepted 10 November 2014, Published online 11 May 2015.
ethz.identifier.wos
ethz.identifier.scopus
ethz.identifier.nebis
004152665
ethz.publication.place
London
ethz.publication.status
published
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::03738 - Sornette, Didier (emeritus) / Sornette, Didier (emeritus)
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::03738 - Sornette, Didier (emeritus) / Sornette, Didier (emeritus)
ethz.date.deposited
2017-06-11T17:37:18Z
ethz.source
ECIT
ethz.identifier.importid
imp593653325325276127
ethz.ecitpid
pub:158785
ethz.eth
yes
ethz.availability
Metadata only
ethz.rosetta.installDate
2017-07-12T14:02:56Z
ethz.rosetta.lastUpdated
2023-02-06T12:55:08Z
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true
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Journal Article [128795]