You can find sample code for fitting the joint maximum-likelihood esimtator that I describe on my personal website here. Run supremum_model.py for a demonstration, and feel free to browse the code.
-
Notifications
You must be signed in to change notification settings - Fork 2
maxwell-zweig/Trading-Estimators
Folders and files
| Name | Name | Last commit message | Last commit date | |
|---|---|---|---|---|
Repository files navigation
About
Maximum Likelihood Estimators for Multivariate Hawkes, Jump-Diffusion, and Exponential Decaying Processes
Resources
Stars
Watchers
Forks
Releases
No releases published
Packages 0
No packages published