Hawkes processes and some financial applications
Includes bibliographical references. === The self-exciting point process, which is now more commonly known as the Hawkes process, is a model for a point process on the real line introduced by Hawkes (1971). The distinguishing feature of such processes is that they allow all past `events' to aff...
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| Format: | Dissertation |
| Language: | English |
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University of Cape Town
2014
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| Online Access: | http://hdl.handle.net/11427/8523 |