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Simulate a Hawkes process

version (26.1 KB) by Dimitri Shvorob
(and visualize it)


Updated 04 Apr 2016

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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.

Comments and Ratings (5)

For a very long simulation, the average number of events per a unit time should be roughly the same as the expected intensity, which is mu/(1-alpha/beta). This is not the case when running your code. Have you checked this issue?

nie chun

Yijia Zhou

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

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?



cosmetic revision

MATLAB Release Compatibility
Created with R2006a
Compatible with any release
Platform Compatibility
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