Detection of Mutual Exciting Structure in Stock Price Trend Dynamics
We investigated a comprehensive analysis of the mutual exciting mechanism for the dynamic of stock price trends. A multi-dimensional Hawkes-model-based approach was proposed to capture the mutual exciting activities, which take the form of point processes induced by dual moving average crossovers. W...
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| Main Authors: | , , , , |
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| Format: | article |
| Language: | EN |
| Published: |
MDPI AG
2021
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| Subjects: | |
| Online Access: | https://doaj.org/article/14f57880a50c46d2a474c5de9cef3852 |
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