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

Filimonov, Vladimir; Sornette, Didier - 2013

We present a careful analysis of possible issues of the application of the self-excited Hawkes process to high-frequency financial data and carefully analyze a set of effects that lead to significant biases in the estimation of the "criticality index'' n that quantifies the degree of endogeneity...

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

Time-varying volatility and the power law distribution of stock returns

Warusawitharana, Missaka - In: Journal of empirical finance 49 (2018), pp. 123-141

Persistent link: https://www.econbiz.de/10012117726

A practical algorithm to detect superexponential behavior in financial asset price returns

Lynch, Christopher; Mestel, Benjamin - In: International journal of theoretical and applied … 25 (2022) 6, pp. 1-22

Persistent link: https://www.econbiz.de/10014235068

A fractal and comparative view of the memory of Bitcoin and S&P 500 returns

Grobys, Klaus - In: Research in international business and finance 66 (2023), pp. 1-19

Persistent link: https://www.econbiz.de/10014460264

A multifractal model of asset (in)variances

Grobys, Klaus - In: Journal of international financial markets, … 85 (2023), pp. 1-37

Persistent link: https://www.econbiz.de/10014433281