Forecasting duration in high-frequency financial data using a self-exciting flexible residual point process

By Kyungsub Lee

Published 2026-08-18

Everscope rating

1566

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

3 / 5

About this paper

Methodology: Self-Exciting Flexible Residual Point Process. Problem types: Time Series Forecasting, Density Estimation, Survival Analysis.

arXiv:2604.00346 · Paper rankings

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