Using Hawkes Processes in Julia: Finance and More!
Using HawkesProcesses.jl I'll introduce the theory behind Hawkes process and show how it can be used across many different applications. Hawkes processes in Julia benefit from the speed of the language and composability of the different libraries, as you can easily extend the Hawkes process using other packages without too much difficulty. Plus, by using Pluto notebooks I can build simple interactions that demonstrate the underlying mechanics of the Hawkes process.
I've been using Julia user since 2015 and maintain a number of packages from HawkesProcesses.jl to a number of data API wrappers.
In my day job I’m currently an electronic trading quant working on both principal and algo execution. I build models, analyse data and construct algorithms to try and get the best prices in the market with the lowest impact.
Outside of my day job I enjoy writing about technology and sports on my blog.