8 citations · 8 across the 3 of their papers we have counts for
3 papers
math.PR2022★ 8 cited
A fractional Hawkes process II: Further characterization of the process
Cassien Habyarimana, Jane A. Aduda, Enrico Scalas +3
We characterize a Hawkes point process with kernel proportional to the probability density function of Mittag-Leffler random variables. This kernel decays as a power law with expon…
math.PR2020
A Fractional Hawkes process
J. Chen, A. G. Hawkes, E. Scalas
We modify ETAS models by replacing the Pareto-like kernel proposed by Ogata with a Mittag-Leffler type kernel. Provided that the kernel decays as a power law with exponent $β+ 1 \i…
q-fin.ST2017
Performance of information criteria used for model selection of Hawkes process models of financial data
J. M. Chen, A. G. Hawkes, E. Scalas +1
We test three common information criteria (IC) for selecting the order of a Hawkes process with an intensity kernel that can be expressed as a mixture of exponential terms. These p…