Multivariate Quadratic Hawkes Processes – Part II: Non-Parametric Empirical Calibration

By Cecilia Aubrun, Michael Benzaquen, Jean-Philippe Bouchaud

Published 2025-09-26

Everscope rating

1638.7

Relevance to quantitative trading

8 / 10

Implementation complexity

8 / 10

Reproducibility

3 / 5

About this paper

Methodology: Non-parametric multi-step calibration via method of moments on MQARCH. Problem types: Time Series Forecasting, Risk Management, Density Estimation, Causal Inference.

arXiv:2509.21244 · Paper rankings

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