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Quadratic Hawkes processes for financial prices

The dataset is used to study the properties of the Quadratic Hawkes process, a generalization of the Hawkes process that includes quadratic feedback effects.

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Cite this as

Pierre Blanc, Jonathan Donier, Jean-Philippe Bouchaud (2024). Dataset: Quadratic Hawkes processes for financial prices. https://doi.org/10.57702/2zpillr1

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Additional Info

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Created December 16, 2024
Last update December 16, 2024
Defined In https://doi.org/10.48550/arXiv.1509.07710
Author Pierre Blanc
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Jonathan Donier
Jean-Philippe Bouchaud