The limits of statistical significance of Hawkes processes fitted to financial data
نویسندگان
چکیده
منابع مشابه
Branching-ratio approximation for the self-exciting Hawkes process.
We introduce a model-independent approximation for the branching ratio of Hawkes self-exciting point processes. Our estimator requires knowing only the mean and variance of the event count in a sufficiently large time window, statistics that are readily obtained from empirical data. The method we propose greatly simplifies the estimation of the Hawkes branching ratio, recently proposed as a pro...
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