Emmanuel Bacry (CMAP, Ecole Polytechnique, France) will give a seminar at the Scuola Normale di Pisa on Thursday February 27 in Aula Bianchi at 1 pm
The title and abstract are
Hawkes process and applications
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.
Moreover he will give a mini-course on
Modeling and analysis of high frequency financial time-series
The agenda is attached below. Interested people are invited to participate. For more information, contact Fabrizio Lillo (fabrizio.lillo@sns.it)
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Tuesday February 25, Aula Fermi, 9.00-11.00
1- Introduction to different market and asset types - Which financial time-series for statistical analysis ?
Thursday February 27, Aula Bianchi, 14.00-16.00
2- Orderbooks dynamics - Qualitative description - Some statistical elements of order books - Transaction costs - Price impact - Response function
Wednesday March 5, Aula Bianchi, 14.00-16.00
3- Tick-by tick financial time-series - trading time versus physical time - ACD models - Microstructure noise
Thursday March 6, Aula Bianchi, 14.00-16.00
4- Hawkes processes based tick-by-tick modeling - Microstructure noise modeling - Trading flow modeling - Response and Impact modeling
------------------------------------------------------------ Fabrizio Lillo Scuola Normale Superiore di Pisa, Dipartimento di Fisica, Universita' di Palermo & Santa Fe Institute, U.S.A.
Piazza dei Cavalieri 7 56126 Pisa ITALY
phone: +39 050509159