X-DataInitiative/tick

Simulating from fitted kernel

Luuk23 opened this issue · 0 comments

Hi,

Hoping someone can help me with the two questions below.

  1. What is the kernel SimuHawkes() is expecting? I have fitted HawkesEM on 90 percentile daily log loss returns for some stocks. This gives me the kernel and a baseline, but plugging in this kernel in SimuHawkes does not seem to work. Is it possible to simulate from a fitted (non-parametric) kernel? I would like to simulate based on the HawkesEM/HawkesConditionalLaw fit if possible, as they make no assumption on the kernel shape.
  2. How does tick treat the time between events. I noticed especially with HawkesConditionalLaw that the fit (norms) can vary extremely if I divide/multiply all event times by the same constant factor x. Should I tweak one of the parameters when working with daily data rather than in the Bacry paper where they use tick data?

Thanks in advance!