research
∙
04/24/2023
Recurrent neural network based parameter estimation of Hawkes model on high-frequency financial data
This study examines the use of a recurrent neural network for estimating...
share
research
∙
07/13/2022
Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures
The Hawkes model is suitable for describing self and mutually exciting r...
research
∙
12/08/2020
