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Published / Preprint: Quadratic Hawkes processes for financial prices. (arXiv:1509.07710v1 [q-fin.TR]) Posted: 27 Sep 2015 05:37 PM PDT We introduce and establish the main properties of QHawkes ("Quadratic" Hawkes) models. QHawkes models generalize the Hawkes price models introduced in E. Bacry et al. (2014), by allowing all feedback effects in the jump intensity that are linear and quadratic in past returns. A non-parametric fit on NYSE stock data shows that the off-diagonal component of the quadratic kernel indeed has a... Visit MoneyScience for the Complete Article.

Published / Preprint: Efficient Computation of the Quasi Likelihood function for Discretely Observed Diffusion Processes. (arXiv:1509.07751v1 [stat.CO]) Posted: 27 Sep 2015 05:37 PM PDT We introduce a simple method for nearly simultaneous computation of all moments needed for quasi maximum likelihood estimation of parameters in discretely observed stochastic differential equations commonly seen in finance. The method proposed in this papers is not restricted to any particular dynamics of the differential equation and is virtually insensitive to the sampling interval. The key... Visit MoneyScience for the Complete Article.

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