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Working paper

Применение процессов Хоукса для прогнозирования финансовых рисков

Егорова Л. Г., Климюк И. Ю.
We consider models of forecasting shocks in stock markets that take into account the endogenous nature of such phenomena on the basis of Hawkes processes. The intensity of the Hawkes processes depends on previous events, that allow modeling the clustering effect. The models were tested on the S&P500 stock index and the USD/RUB currency pair and are capable to predict some financial crashes.