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dc.rights.licenseCC-BY-NC-ND
dc.contributor.advisorSpitoni, C.
dc.contributor.authorWinkel, E.J. van de
dc.date.accessioned2019-07-25T17:01:06Z
dc.date.available2019-07-25T17:01:06Z
dc.date.issued2019
dc.identifier.urihttps://studenttheses.uu.nl/handle/20.500.12932/32985
dc.description.abstractIn this Bachelor Thesis, an overview of Hawkes processes will be given. We start by looking at stochastic processes. We are particularly interested in the homogeneous and nonhomogeneous Poisson process, since these are the Markovian counterpart of Hawkes processes. Then Hawkes process will be defined. When familiar with the theory behind the Hawkes process, we spent time simulating these processes. Finally, we will be looking at applications of Hawkes processes, both in finance, and in the description of social media data.
dc.description.sponsorshipUtrecht University
dc.format.extent2280215
dc.format.mimetypeapplication/pdf
dc.language.isoen
dc.titleParametric Hawkes Processes: Theory, Simulation and Application
dc.type.contentBachelor Thesis
dc.rights.accessrightsOpen Access
dc.subject.keywordsstochastic process; Hawkes process; simulation; maximum-likelihood; financial application; measure theory; probability theory; Poisson process; nonhomogeneous Poisson process; filtration; self-exciting procss; stationarity; Markov property; rate; intensity function; conditional intensity function; social media
dc.subject.courseuuWiskunde


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