Similar Search Results

Apparent criticality and calibration issues in the Hawkes self-excited point process model : application to high-frequency financial data

Filimonov, Vladimir; Sornette, Didier - 2013

-frequency financial data and carefully analyze a set of effects that lead to significant biases in the estimation of the "criticality … continuously functioning at or close to criticality (n = 1) cannot be supported. In contrast, our previous results on E-mini S …

Persistent link: https://www.econbiz.de/10010257507

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

Wheatley, Spencer; Wehrli, Alexander; Sornette, Didier - 2018

The endo-exo problem lies at the heart of statistical identi fication in many fields of science, and is often plagued by spurious strong-and-long memory due to improper treatment of trends, shocks and shifts in the data. A class of models that has shown to be useful in discerning exogenous and...

Persistent link: https://www.econbiz.de/10011900335

Change-point analysis of asset price bubbles with power-law hazard function

Lynch, Christopher; Mestel, Benjamin - In: International journal of theoretical and applied finance 22 (2019) 7, pp. 1-24

Persistent link: https://www.econbiz.de/10012153466

A stochastic volatility approximation for a tick-by-tick price model with mean-field interaction

DaiPra, Paolo; Pigato, Paolo - 2025

Persistent link: https://www.econbiz.de/10015413652

Internet router modeling using Circulant Markov modulated Poisson process- impact of fractal onset time (FOT)

Renikunta, Ramesh; Dasari, Rajaiah; Malla Reddy, Perati - In: Opsearch : journal of the Operational Research Society … 53 (2016) 2, pp. 317-328

Persistent link: https://www.econbiz.de/10011595128