Parallel Session [T8-10A]

[T8-10A-02] Quadratic Hawkes in financial markets
catching a balance between exciting and inhibiting realisations

*Cecilia Aubrun^1,2, Michael Benzaquen^1,2,3, Jean-Philippe Bouchaud^3,4 (1. Chair of Econophysics and Complex Systems, Ecole polytechnique, 91128 Palaiseau Cedex, France, 2. LadHyX UMR CNRS 7646, Ecole polytechnique, 91128 Palaiseau Cedex, France, 3. Capital Fund Management, 23 Rue de l’Universite, 75007 Paris, France, 4. Académie des Sciences, 23 Quai de Conti, 75006 Paris, France)

Keywords:Quadratic Hawkes, Multivariate, Self-exciting, price movements