Quadratic Hawkes processes for ﬁnancial prices

doi:doi:10.57702/2zpillr1

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

DOI retrieved: December 16, 2024

Additional Info

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