Simulate a Hawkes process

(and visualize it)

Description

The submission considers first-order exponential-decay Hawkes processes with constant unconditional intensities, and presents

a) a calculation of point-time intensities for constituent series of a multivariate process;

b) a plotting function visualizing intensity dynamics and event occurrences of a multivariate process;

c) a *univariate* process simulator, based on Algorithm 1 of Bravaccino (2004, p. 80). A multivariate simulator is desired, and collaboration is enthusiastically welcomed.

Acknowledgements

The author wishes to acknowledge the following in the creation of this submission:
Estimation and Simulation of ACD models in MatLab

• MATLAB release: MATLAB 7.2 (R2006a)

[Antonio Brice;o]

Hello. Thanks for your code, is very usefull, because I have the need to create synthetic data for work with optimzation. Have you ever been working in the optimization?

[Yijia Zhou]

I've download several files of yours. They are very useful. Thank you. Do you work in the area of quantitative finance?