English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Plus annual

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Plus monthly

Global: Zendy Tools annual

Global: Zendy Tools monthly

Global: Zendy Free Plan

Hawkes processes have seen a number of applications in finance, due to theirability to capture event clustering behaviour typically observed in financialsystems. Given a calibrated Hawkes process, of concern is the statistical fitto empirical data, particularly for the accurate quantification of self- andmutual-excitation effects. We investigate the application of a multivariateHawkes process with a sum-of-exponentials kernel and piecewise-linearexogeneity factors, fitted to liquidity demand and replenishment eventsextracted from limit order book data. We consider one-, two- andthree-exponential kernels, applying various tests to ascertain goodness-of-fitand stationarity of residuals, as well as stability of the calibrationprocedure. In line with prior research, it is found that performance across alltests improves as the number of exponentials is increased, with asum-of-three-exponentials yielding the best fit to the given set of coupledpoint processes.

The statistical significance of multivariate Hawkes processes fitted to limit order book data