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

DOI10.1080/14697688.2018.1550266zbMath1420.91558OpenAlexW2909951134MaRDI QIDQ5234347

Spencer Wheatley, Alexander Wehrli, Didier Sornette

Publication date: 26 September 2019

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

Full work available at URL: https://doi.org/10.1080/14697688.2018.1550266

zbMATH Keywords

EM algorithmHawkes processnon-stationarityspurious inferenceeconometricshigh frequency financial data

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Actuarial science and mathematical finance (91G99)

Related Items (3)

Exogenous and endogenous price jumps belong to different dynamical classes ⋮ Classification of flash crashes using the Hawkes(p,q)framework ⋮ Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes

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