Recurrent neural network based parameter estimation of Hawkes model on high-frequency financial data

• URL: http://arxiv.org/abs/2304.11883v1
• Date: Mon, 24 Apr 2023 07:51:11 GMT
• Title: Recurrent neural network based parameter estimation of Hawkes model on high-frequency financial data
• Authors: Kyungsub Lee
• Abstract summary: This study examines the use of a recurrent neural network for estimating the parameters of a Hawkes model based on high-frequency financial data. Our approach demonstrates significantly faster computational performance compared to traditional maximum likelihood estimation methods. We demonstrate the application of this method for real-time volatility measurement, enabling the continuous estimation of financial volatility as new price data keeps coming from the market.
• Score: 0.0
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: This study examines the use of a recurrent neural network for estimating the parameters of a Hawkes model based on high-frequency financial data, and subsequently, for computing volatility. Neural networks have shown promising results in various fields, and interest in finance is also growing. Our approach demonstrates significantly faster computational performance compared to traditional maximum likelihood estimation methods while yielding comparable accuracy in both simulation and empirical studies. Furthermore, we demonstrate the application of this method for real-time volatility measurement, enabling the continuous estimation of financial volatility as new price data keeps coming from the market.

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