Testing for Self-excitation in Financial Events: A Bayesian Approach

Ali Caner Türkmen, Ali Taylan Cemgil. Testing for Self-excitation in Financial Events: A Bayesian Approach. In Carlos Alzate, Anna Monreale, Livio Bioglio, Valerio Bitetta, Ilaria Bordino, Guido Caldarelli, Andrea Ferretti, Riccardo Guidotti, Francesco Gullo, Stefano Pascolutti, Ruggero G. Pensa, Céline Robardet, Tiziano Squartini, editors, ECML PKDD 2018 Workshops - MIDAS 2018 and PAP 2018, Dublin, Ireland, September 10-14, 2018, Proceedings. Volume 11054 of Lecture Notes in Computer Science, pages 95-102, Springer, 2018. [doi]

Authors

Ali Caner Türkmen

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Ali Taylan Cemgil

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