Dataset Groups Activity Stream 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. BibTex: @dataset{E_Bacry_and_K_Dayri_and_J-F_Muzy_2024, abstract = {The dataset is used to study the properties of the Hawkes process, a self-exciting point process that models the dynamics of financial prices.}, author = {E. Bacry and K. Dayri and J.-F. Muzy}, doi = {10.57702/2cj5q87f}, institution = {No Organization}, keyword = {'Financial prices', 'Hawkes process', 'Time series analysis'}, month = {dec}, publisher = {TIB}, title = {Hawkes processes in finance}, url = {https://service.tib.eu/ldmservice/dataset/hawkes-processes-in--nance}, year = {2024} }
