Modeling market activity using 1D non-homogeneous Hawkes Processes
This paper can be seen as a light introduction to the study of Hawkes pro- cesses and their applicability in the realms of finance. In particular, this paper is concerned on the topic of modeling market activity and elaborates on how Hawkes processes are superior to non-homogeneous Poisson processes in this re- gard. After some rudimentary theory on point processes it goes more in depth into the a
