Modeling High-Frequency Price Data with Bounded-Delay Hawkes Processes

Ali Caner Türkmen () and Ali Taylan Cemgil ()
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Ali Caner Türkmen: Boğaziçi University, Department of Computer Engineering
Ali Taylan Cemgil: Boğaziçi University, Department of Computer Engineering

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2018, pp 507-511 from Springer

Abstract: Abstract Hawkes processes are a recent theme in the modeling of discrete financial events such as price jumps, trades and limit orders, basing the analysis on a continuous time formalism. We propose to simplify computation in Hawkes processes via a bounded delay density. We derive an Expectation-Maximization algorithm for maximum likelihood estimation, and perform experiments on high-frequency interbank currency exchange data. We find that while simplifying computation, the proposed model results in better generalization.

Keywords: Hawkes processes; Self-exciting process; High-frequency trading (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-89824-7_90

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DOI: 10.1007/978-3-319-89824-7_90

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