کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7155549 | 1462623 | 2015 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Effective measure of endogeneity for the Autoregressive Conditional Duration point processes via mapping to the self-excited Hawkes process
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
سایر رشته های مهندسی
مهندسی مکانیک
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Effective measure of endogeneity for the Autoregressive Conditional Duration point processes via mapping to the self-excited Hawkes process Effective measure of endogeneity for the Autoregressive Conditional Duration point processes via mapping to the self-excited Hawkes process](/preview/png/7155549.png)
چکیده انگلیسی
In order to disentangle the internal dynamics from exogenous factors within the Autoregressive Conditional Duration (ACD) model, we present an effective measure of endogeneity. Inspired from the Hawkes model, this measure is defined as the average number of direct offspring for each observed event. Having an explicit meaning allowing one to define a distance to criticality, this “branching ratio” parameter also characterizes the average fraction of events that are triggered due to internal feedback mechanisms within the total population. We provide a direct comparison of the Hawkes and ACD models based on numerical simulations and show that our effective measure of endogeneity for the ACD can be mapped onto the “branching ratio” of the Hawkes model.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Communications in Nonlinear Science and Numerical Simulation - Volume 22, Issues 1â3, May 2015, Pages 23-37
Journal: Communications in Nonlinear Science and Numerical Simulation - Volume 22, Issues 1â3, May 2015, Pages 23-37
نویسندگان
Vladimir Filimonov, Spencer Wheatley, Didier Sornette,