A slightly depressing jump model: intraday volatility pattern simulation

DOI10.1080/14697688.2017.1403139zbMath1400.91551OpenAlexW2777404704MaRDI QIDQ4554418

A. G. Hawkes, Khaldoun Khashanah, Jing Chen

Publication date: 14 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://orca.cf.ac.uk/107374/1/QF-SI-HP-004-Full.pdf

zbMATH Keywords

Hawkes processjump detectionfinancial seriesbirth-death-immigrationintraday simulation

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Portfolio theory (91G10)

Related Items

Applications of a multivariate Hawkes process to joint modeling of sentiment and market return events

Cites Work

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