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dc.contributor.author
Sornette, Didier
dc.contributor.author
Wheatley, Spencer
dc.contributor.author
Wehrli, Alexander
dc.date.accessioned
2019-03-11T13:56:56Z
dc.date.available
2019-01-21T11:23:20Z
dc.date.available
2019-03-11T13:56:56Z
dc.date.issued
2018-10-02
dc.identifier.other
10.2139/ssrn.3239443
en_US
dc.identifier.uri
http://hdl.handle.net/20.500.11850/317885
dc.language.iso
en
en_US
dc.publisher
Swiss Finance Institute; Elsevier
en_US
dc.subject
mid-price changes
en_US
dc.subject
trade times
en_US
dc.subject
Hawkes process
en_US
dc.subject
endogeneity
en_US
dc.subject
criticality
en_US
dc.subject
Expectation- Maximization
en_US
dc.subject
BIC
en_US
dc.subject
non-stationarity
en_US
dc.subject
ARMA point process
en_US
dc.subject
spurious inference
en_US
dc.subject
external shocks
en_US
dc.title
The endo-exo problem in high frequency financial price fluctuations and rejecting criticality
en_US
dc.type
Working Paper
ethz.journal.title
SSRN
ethz.journal.volume
18-57
en_US
ethz.size
24 p.
en_US
ethz.code.jel
JEL - JEL::C - Mathematical and Quantitative Methods::C0 - General::C01 - Econometrics
en_US
ethz.code.jel
JEL - JEL::C - Mathematical and Quantitative Methods::C4 - Econometric and Statistical Methods: Special Topics::C40 - General
en_US
ethz.code.jel
JEL - JEL::C - Mathematical and Quantitative Methods::C5 - Econometric Modeling::C52 - Model Evaluation, Validation, and Selection
en_US
ethz.publication.place
Zurich; Amsterdam
en_US
ethz.publication.status
unpublished
en_US
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 / Sornette, Didier
en_US
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 / Sornette, Didier
en_US
ethz.date.deposited
2019-01-21T11:23:21Z
ethz.source
FORM
ethz.eth
yes
en_US
ethz.availability
Metadata only
en_US
ethz.rosetta.installDate
2019-03-11T13:57:01Z
ethz.rosetta.lastUpdated
2019-03-11T13:57:01Z
ethz.rosetta.exportRequired
false
ethz.rosetta.versionExported
true
ethz.COinS
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