Applications of multi-variate Hawkes process to joint modelling of sentiment and market return events

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Yang, Steve Y.; Liu, Anqi; Chen, Jing; Hawkes, Alan G.;
(2017)

To investigate the complex interactions between market events and investor sentiment, we employ a multivariate Hawkes process to evaluate dynamic effects among four types of distinct events: positive returns, negative returns, positive sentiment and negative sentiment. ... View more
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