Seminar by Samuel Cohen

Statistics and Biostatistics seminar series 

Samuel Cohen
University of Oxford

Room: M3 3127

Calibrating Hawkes processes in financial data

Hawkes processes are a key modelling tool for many problems, in particular for high frequency financial data. In this talk we will consider some of the difficulties which arise when working with these processes and their variations - how to account for time-dependence, non-Markovian behaviour, very large amounts of data, etc... We will present a new family of calibration methodologies which can avoid these issues and work well in practice, based on an unusual application of stochastic gradient descent. We will also apply these methods to limit order book data.