Effective Measure of Endogeneity for the Autoregressive Conditional Duration Point Processes via Mapping to the Self-Excited Hawkes Process

Vladimir Filimonov, Spencer Wheatley and Didier Sornette

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Abstract: In order to disentangle the internal dynamics from exogenous factors within the Autoregressive Conditional Duration (ACD) model, we present an effective measure of endogeneity. Inspired from the Hawkes model, this measure is defined as the average fraction of events that are triggered due to internal feedback mechanisms within the total population. We provide a direct comparison of the Hawkes and ACD models based on numerical simulations and show that our effective measure of endogeneity for the ACD can be mapped onto the "branching ratio" of the Hawkes model.

Date: 2013-06, Revised 2014-06
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1306.2245

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