5. ReferencesΒΆ

The mpoints package is based on the following two references. The first reference is an introduction to state-dependent Hawkes processes with an application to high-frequency financial data. The second reference sets the theoretical foundations of hybrid marked point processes.

  1. Morariu-Patrichi, M. and Pakkanen, M. S. (2018). State-dependent Hawkes processes and their application to limit order book modelling. Preprint, available at http://arxiv.org/abs/1809.08060.
  2. Morariu-Patrichi, M. and Pakkanen, M. S. (2017). Hybrid marked point processes: characterisation, existence and uniqueness. Preprint, available at: http://arxiv.org/abs/1707.06970.

A friendly introduction to (hybrid) marked point processes can be found at https://maximemorariu.com.