Hawkes Process: Fast Calibration, Application to Trade Clustering, and Diffusive Limit

C-Tier

Journal: Journal of Futures Markets

Year: 2014

Volume: 34

Issue: 6

Pages: 548-579

Authors (2)

José Da Fonseca (Auckland University of Technol...) Riadh Zaatour (not in RePEc)

Score contribution per author:

0.505 = (α=2.02 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count