On the Hawkes Process with Different Exciting Functions
Fuente:
arXiv
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| Auteurs principaux: | , |
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| Format: | Preprint |
| Publié: |
2014
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| _version_ | 1866908515778428928 |
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| author | Mehrdad, Behzad Zhu, Lingjiong |
| author_facet | Mehrdad, Behzad Zhu, Lingjiong |
| contents | The Hawkes process is a simple point process, whose intensity function depends on the entire past history and is self-exciting and has the clustering property. The Hawkes process is in general non-Markovian. The linear Hawkes process has immigration-birth representation. Based on that, Fierro et al. recently introduced a generalized linear Hawkes model with different exciting functions. In this paper, we study the convergence to equilibrium, large deviation principle, and moderate deviation principle for this generalized model. This model also has connections to the multivariate linear Hawkes process. Some applications to finance are also discussed. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_1403_0994 |
| institution | arXiv |
| publishDate | 2014 |
| record_format | arxiv |
| spellingShingle | On the Hawkes Process with Different Exciting Functions Mehrdad, Behzad Zhu, Lingjiong Probability Risk Management Trading and Market Microstructure The Hawkes process is a simple point process, whose intensity function depends on the entire past history and is self-exciting and has the clustering property. The Hawkes process is in general non-Markovian. The linear Hawkes process has immigration-birth representation. Based on that, Fierro et al. recently introduced a generalized linear Hawkes model with different exciting functions. In this paper, we study the convergence to equilibrium, large deviation principle, and moderate deviation principle for this generalized model. This model also has connections to the multivariate linear Hawkes process. Some applications to finance are also discussed. |
| title | On the Hawkes Process with Different Exciting Functions |
| topic | Probability Risk Management Trading and Market Microstructure |
| url | https://arxiv.org/abs/1403.0994 |