This thesis provides an introduction to self-exciting stochastic process called Hawkes process. The basic analytic background will be provided discussed and simulations and estimates will be carry out by using Matlab. An example of univariate unmarked Hawkes process will be used to model the price jumps in some stocks

Introduction hawkes process and an application with financial data

Cao, Yiwei
2016/2017

Abstract

This thesis provides an introduction to self-exciting stochastic process called Hawkes process. The basic analytic background will be provided discussed and simulations and estimates will be carry out by using Matlab. An example of univariate unmarked Hawkes process will be used to model the price jumps in some stocks
2016-11-02
Hawkes process, jumps, Matlab, estimation
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/20.500.12608/25621