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 stocksFile in questo prodotto:
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https://hdl.handle.net/20.500.12608/25621