ICASSP
2011
IEEE
12 years 8 months ago
2011
IEEE
Hawkes processes are used for modeling tick-by-tick variations of a single or of a pair of asset prices. For each asset, two counting processes (with stochastic intensities) are a...
WSC
2008
13 years 6 months ago
2008
Point processes with stochastic intensities are ubiquitous in many application areas, including finance, insurance, reliability and queuing. They can be simulated from standard Po...