Performance of information criteria for selection of Hawkes process models of financial data

DOI10.1080/14697688.2017.1403140zbMath1405.62137arXiv1702.06055OpenAlexW2762377857MaRDI QIDQ4554419

Enrico Scalas, Mailan Trinh, A. G. Hawkes, Jing Chen

Publication date: 14 November 2018

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

Full work available at URL: https://arxiv.org/abs/1702.06055

zbMATH Keywords

model selectionpredictionsinformation criterionHawkes processself-exciting process

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical aspects of information-theoretic topics (62B10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (8)

A review of self-exciting spatio-temporal point processes and their applications ⋮ Moments for Hawkes processes with gamma decay kernel functions ⋮ Numerical method for means of linear Hawkes processes ⋮ Condition-based maintenance for a system subject to multiple degradation processes with stochastic arrival intensity ⋮ Comparative evaluation of point process forecasts ⋮ Inference of multivariate exponential Hawkes processes with inhibition and application to neuronal activity ⋮ An elementary derivation of moments of Hawkes processes ⋮ The endo–exo problem in high frequency financial price fluctuations and rejecting criticality

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