analysis

Documentation

Index

• func GetIntensity(m MarkedHawkesProcess, t int64, params []TimedTuple) float64
• type MarkedHawkesProcess
• type MarkedHawkesProcessVP
  • func NewMarkedHawkesProcessVP(mu, alpha, beta, timeScale float64) *MarkedHawkesProcessVP
  • func (m *MarkedHawkesProcessVP) GetAlpha() float64
  • func (m *MarkedHawkesProcessVP) GetBeta() float64
  • func (m *MarkedHawkesProcessVP) GetMu() float64
  • func (m *MarkedHawkesProcessVP) GetTimeScale() float64
  • func (m *MarkedHawkesProcessVP) MarkFunction(params any) float64
• type TimedTuple
• type VolumePriceData

Functions

func GetIntensity

func GetIntensity(m MarkedHawkesProcess, t int64, params []TimedTuple) float64

Types

type MarkedHawkesProcess

type MarkedHawkesProcess interface {
	MarkFunction(params any) float64
	GetAlpha() float64
	GetBeta() float64
	GetMu() float64
	GetTimeScale() float64
}

type MarkedHawkesProcessVP

type MarkedHawkesProcessVP struct {
	// contains filtered or unexported fields
}

Implementation of MarkedHawkesProcess for volume and price data

func NewMarkedHawkesProcessVP

func NewMarkedHawkesProcessVP(mu, alpha, beta, timeScale float64) *MarkedHawkesProcessVP

func (*MarkedHawkesProcessVP) GetAlpha

func (m *MarkedHawkesProcessVP) GetAlpha() float64

func (*MarkedHawkesProcessVP) GetBeta

func (m *MarkedHawkesProcessVP) GetBeta() float64

func (*MarkedHawkesProcessVP) GetMu

func (m *MarkedHawkesProcessVP) GetMu() float64

func (*MarkedHawkesProcessVP) GetTimeScale

func (m *MarkedHawkesProcessVP) GetTimeScale() float64

func (*MarkedHawkesProcessVP) MarkFunction

func (m *MarkedHawkesProcessVP) MarkFunction(params any) float64

type TimedTuple

type TimedTuple struct {
	Time   int64 // Time of the event
	Params any
}

type VolumePriceData

type VolumePriceData struct {
	Volume float64
	Price  float64
}