The endo-exo problem in high frequency financial price fluctuations and rejecting criticality

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Author
Sornette, Didier
Wheatley, Spencer
Wehrli, Alexander
Date
2018-10-02
Type
    Working Paper
Publication status
unpublished
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Journal / series
SSRN
Volume
18-57
Publisher
Swiss Finance Institute; Elsevier
Subject
mid-price changes; trade times; Hawkes process; endogeneity; criticality; Expectation- Maximization; BIC; non-stationarity; ARMA point process; spurious inference; external shocks
Organisational unit
03738 - Sornette, Didier / Sornette, Didier  
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