2 datasets found

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

The temporal domain is generated by a Hawkes process, and the intensity function is defined as follows: λ(t, |Ht) = 0.2 + ∑[t < ti] (0.2e^(-0.2(t-t-ti)) + 4e^(-10(ti-t)))....