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RePEcML & AI Methods

Hawkes Model Parameter Estimation with Recurrent Neural Networks

A recurrent neural network was used to estimate parameters of a Hawkes model using high-frequency financial data, showing faster performance and similar accuracy to traditional methods, allowing for real-time volatility measurement.

Featured in No. 7 on 12 Jul 2023 · on release day

Released
12 Jul 2023
First featured
No. 7 · 12 Jul 2023
Published in
Not yet, as far as Semantic Scholar knows
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Identifier
RePEc:eee:finlet:v:55:y:2023:i:pa:s1544612323002945

Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).

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