Hawkes Processes

Introduction to Hawkes Processes which are stochastic processes that model auto-correlated jumps.

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Suggested citation

Krain, Lukas and Härdle, Wolfgang Karl (2023). Hawkes Processes. Q2 ecosystem. Available at https://quantinar.com/course/679/hawkes-processe or http://dx.doi.org/10.24818/IDA-CL/2023.175.

@misc{krain2023, author = {Krain, Lukas and Härdle, Wolfgang Karl}, title = {Hawkes Processes}, year = {2023}, howpublished = {Q2 ecosystem}, doi = {http://dx.doi.org/10.24818/IDA-CL/2023.175.}, url = {https://quantinar.com/course/679/hawkes-processe} }
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Courselet Content

2 components

	Hawkes Processes (pdf)	2.32 M
	Hawkes Processes (video)	26 min

Requirements

Stochastic Processes

General Overview

Description

This courselet is an introduction to Hawkes processes which are stochastic processes that can be used to model jump processes with auto-correlated jumps. The motivation is given by intuitive examples and other naive ways of modelling are discarded. After the introduction of the building-blocks of the process, the baseline probability function and the kernel function, estimation and simulation techniques are discussed. Common choices of those building-blocks are presented. Advantages and disadvantages of those common choises are discussed. Algorithms for finding jumps are introduced but not discussed in detail.