High-frequency Data Modeling using Hawkes Processes

The High-frequency Data Modeling using Hawkes Processes, organized by the Tinbergen Institute Amsterdam will take place to the 26th June 2014 at the Erasmus University Rotterdam in Rotterdam, The Netherlands. The conference will present a marked point process model for the excesses of a time series over a high threshold that combines Hawkes processes for the exceedances with generalized Pareto distribution for the marks (exceedance sizes. Some prominent speaker include Valerie Chavez Demoulin .