The statistical estimate of the branching ratio η of the Hawkes model, when fitted to windows of mid-price changes, has been reported to approach criticality (η = 1) as the fitting window becomes large. In this study -- using price changes from the EUR/USD currency pair traded on the...

This paper develops a method to select the threshold in threshold-based jump detection methods. The method is motivated by an analysis of threshold-based jump detection methods in the context of jump-diffusion models. We show that over the range of sampling frequencies a researcher is most...

In this short paper, we review various (non)-parametric regression methods, mainly k-nearest neighbors, Nadaraya-Watson, LP(p)-estimators, spline regressor and random forest. They are then compared when calibrating local stochastic volatility models using the particle method