RePEcML & AI Methods
Hawkes Model Parameter Estimation with Recurrent Neural Networks
A recurrent neural network was used to estimate parameters of a Hawkes model using high-frequency financial data, showing faster performance and similar accuracy to traditional methods, allowing for real-time volatility measurement.
Featured in No. 7 on 12 Jul 2023 · on release day
- Released
- 12 Jul 2023
- First featured
- No. 7 · 12 Jul 2023
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 14
- Identifier
- RePEc:eee:finlet:v:55:y:2023:i:pa:s1544612323002945
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