ICASSP
2011
IEEE
14 years 1 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
14 years 12 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...