Skip to main content

Module hawkes

market_model::process

Module hawkes 

Source
Expand description

Hawkes self-exciting point process.

A stochastic intensity process where each arrival increases the probability of further arrivals, capturing clustering behavior observed in market orders, cancellations, and volatility spikes.

Structs§

ExponentialKernel
Exponential kernel: phi(t) = alpha * exp(-beta * t).
HawkesProcess
Hawkes process with arbitrary kernel.
PowerLawKernel
Power-law kernel: phi(t) = alpha / (c + t)^p.

Traits§

Kernel
Trait for Hawkes kernel functions.