Title: Point process regression model in the yuima project
Authors: Lorenzo Mercuri - University of Milan (Italy) [presenting]
Abstract: The point process regression models have been introduced previously for modeling the limit order book. These processes can be seen as a generalization of the multivariate Hawkes model due to the presence of covariates in the intensity process. Moreover, the flexibility of the package yuima allows the users to define a specific dynamics for the intensity process. We review classes and methods for the estimation and the simulation of these models. We also discuss some useful advances with respect to the existing theoretical literature that are used in the implementation schemes.