Non-Parametric Estimation of Multi-dimensional Marked Hawkes Processes
By Sobin Joseph, Shashi Jain
Rating
1668
Battle Count: 29
Relevance
8/10
Highly relevant for modeling high-frequency trading data and order book dynamics
Implementation Complexity
7/10
Requires understanding of neural networks and point processes, but code is provided
Reproducibility
4/5
Code and data are available on GitHub, methodology is well-described
About this paper
Methodology: Neural Network-based Estimation. Problem types: Time Series Forecasting, Point Process Modeling.
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