Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes

DOI10.1080/14697688.2020.1838602zbMath1479.91386OpenAlexW3129047435MaRDI QIDQ5014205

Alexander Wehrli, Spencer Wheatley, Didier Sornette

Publication date: 1 December 2021

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

Full work available at URL: https://doi.org/10.1080/14697688.2020.1838602

zbMATH Keywords

EM algorithmnonstationaritymarket microstructureHawkes processspurious inferenceeconometricshigh frequency financial datainteger-valued autoregressive process

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Financial markets (91G15)

Related Items (3)

Exogenous and endogenous price jumps belong to different dynamical classes ⋮ Classification of flash crashes using the Hawkes(p,q)framework ⋮ Nonlinear Poisson autoregression and nonlinear Hawkes processes

Uses Software

• ElemStatLearn

Cites Work

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