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Apparent Criticality and Calibration Issues in the Hawkes Self-Excited Point Process Model: Application to High-Frequency Financial Data

Apparent Criticality and Calibration Issues in the Hawkes Self-Excited Point Process Model: Application to High-Frequency Financial Data

AuthorD. Sornette, V. Filimonov
JournalQuantitative Finance
Date1 jan. 2015
CatégorieAcademic Publications
Volumevol. 15 (8), pp 1469-7696

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