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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...
Emmanuel Bacry, Sylvain Delattre, Marc Hoffmann, J...
Point processes with stochastic intensities are ubiquitous in many application areas, including finance, insurance, reliability and queuing. They can be simulated from standard Po...