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What is Non-Parametric Calibration of MQHawkes about?

This is the second part of our work on Multivariate Quadratic Hawkes (MQHawkes) Processes, devoted to the calibration of the model defined and studied analytically in Aubrun, C., Benzaquen, M., & Bouchaud, J. P., Quantitative Finance, 23(5), 741-758 (2023). We propose a non-parametric calibration method based on the general method of moments applied to a coarse-grained version of the MQHawkes model. This allows us to bypass challenges inherent to tick by tick data. Our main methodological innova

Author

ctbt5

Language

EN