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Hawkes processes in finance

The dataset is used to study the properties of the Hawkes process, a self-exciting point process that models the dynamics of financial prices.

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Cite this as

E. Bacry, K. Dayri, J.-F. Muzy (2024). Dataset: Hawkes processes in finance. https://doi.org/10.57702/2cj5q87f

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Additional Info

Field Value
Created December 16, 2024
Last update December 16, 2024
Defined In https://doi.org/10.48550/arXiv.1509.07710
Author E. Bacry
More Authors
K. Dayri
J.-F. Muzy