STATPHYS28

Presentation information

Parallel Session

Topic 8: Interdisciplinary and complex systems

Parallel Session [T8-10A]

Thu. Aug 10, 2023 1:00 PM - 2:00 PM Classroom 213 (#213 in Building 2 of the School of Engineering, 1F)

chair:Abhijit Chakraborty, Seong-Gyu Yang

1:30 PM - 1:45 PM

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

*Cecilia Aubrun1,2, Michael Benzaquen1,2,3, Jean-Philippe Bouchaud3,4 (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

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