27 Feb

Emmanuel Bacry, “Hawkes process and applications”

Thursday February 27  2014
13.00
Scuola Normale Superiore
Aula Bianchi

Emmanuel Bacry
CMAP, UMR 7641 CNRS, Ecole Polytechnique, France

Abstract

Hawkes processes are point self-exciting point processes particularly well suited for applications. Introduced in the 70s, that have been used in very various domaines such as high-frequency financial time-series modeling or viral diffusion in social networks.
After describing how they are defined and their main properties, we shall discuss some problems linked to parametric estimations (in high dimensions) as well as non parametric estimations. We will present several applications.