Name
Title | ||
|---|---|---|
Effective measure of endogeneity for the Autoregressive Conditional Duration point processes via mapping to the self-excited Hawkes process |
Abstract | ||
|---|---|---|
•We describe an effective measure of endogeneity and criticality in the system.•The measure is defined as the average number of direct offspring for each observed event.•We show strong relation between duration-based and intensity-based approaches to model point processes.•We show that our endogeneity index for the ACD model can be mapped onto the “branching ratio” of the Hawkes model. |
Year | DOI | Venue |
|---|---|---|
2015 | 10.1016/j.cnsns.2014.08.042 | Communications in Nonlinear Science and Numerical Simulation |
Keywords | DocType | Volume |
Point processes,Autoregressive Conditional Duration,Hawkes process,Branching processes,Self-excitation,Criticality,Tipping points,High-frequency data | Journal | 22 |
Issue | ISSN | Citations |
1 | 1007-5704 | 1 |
PageRank | References | Authors |
0.37 | 5 | 3 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| vladimir filimonov | 1 | 4 | 1.41 |
| spencer wheatley | 2 | 1 | 0.37 |
| Didier Sornette | 3 | 238 | 37.50 |