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Modeling High-Frequency Price Data with Bounded-Delay Hawkes Processes

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author

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  • Ali Caner Türkmen

    (Boğaziçi University, Department of Computer Engineering)

  • Ali Taylan Cemgil

    (Boğaziçi University, Department of Computer Engineering)

Abstract

Hawkes processes are a recent theme in the modeling of discrete financial events such as price jumps, trades and limit orders, basing the analysis on a continuous time formalism. We propose to simplify computation in Hawkes processes via a bounded delay density. We derive an Expectation-Maximization algorithm for maximum likelihood estimation, and perform experiments on high-frequency interbank currency exchange data. We find that while simplifying computation, the proposed model results in better generalization.

Suggested Citation

  • Ali Caner Türkmen & Ali Taylan Cemgil, 2018. "Modeling High-Frequency Price Data with Bounded-Delay Hawkes Processes," Springer Books, in: Marco Corazza & María Durbán & Aurea Grané & Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 507-511, Springer.
    • Handle: RePEc:spr:sprchp:978-3-319-89824-7_90
    DOI: 10.1007/978-3-319-89824-7_90
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