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Hawkes Processes - Simulation and Financial Applications

Patrick Laub
(Department of Mathematics, Aarhus University)
Thieleseminar
Torsdag, 12 februar, 2015, at 13:15-14:00, in Koll. D (1531-211)
Abstrakt:
It is expected that some types of events that are observed will naturally cluster over time. An earthquake will typically increase the geological tension of the region in which it occurs and afterquakes will likely follow. A fight between rival gangs might ignite a spate of criminal retaliations. Selling a significant quantity of a stock could precipitate a trading flurry. A mathematical model that has been used in all of these examples is the Hawkes process, a 'self-exciting' point process. This talk will briefly overview the Hawkes process (particularly simulation), and touch on financial applications such as predicting flash-crashes.

TIME:   20 mins + questions.

Organiseret af: The T.N. Thiele Centre
Kontaktperson: Søren Asmussen