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q-fin.ST2014★ 51 cited
Branching ratio approximation for the self-exciting Hawkes process
Stephen J. Hardiman, Jean-Philippe Bouchaud
We introduce a model-independent approximation for the branching ratio of Hawkes self-exciting point processes. Our estimator requires knowing only the mean and variance of the eve…
q-fin.ST2013★ 152 cited
Critical reflexivity in financial markets: a Hawkes process analysis
Stephen J. Hardiman, Nicolas Bercot, Jean-Philippe Bouchaud
We model the arrival of mid-price changes in the E-Mini S&P futures contract as a self-exciting Hawkes process. Using several estimation methods, we find that the Hawkes kernel is…