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20132020
most citedCritical reflexivity in financial markets: a Hawkes process analysis

152 citations · 203 across the 2 of their papers we have counts for

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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…