Hawkes Processes in Finance

Student: Klymyuk Ihor

Supervisor: Lyudmila Gennadyevna Egorova

Educational Programme: Applied Economics (Master)

Year of Graduation: 2017

First we will consider the mathematical model of Hawkes models, discuss options for applying and improving the model for the sphere of finance. Various point processes were simulated, their properties were discussed. In the second part of the paper we apply theoretical models to real data. An important part of the work is development of earlynwarning system to forecast crisises in the financial market and compare results with other models (for example, with GARCH).

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