At BestX we provide analytics for traders to make better decisions in financial markets. We have built an event risk model that measures the level of distress in markets and predicts the probability of further distress. The model is built using a Hawkes process and this talk will demonstrate how we use my HawkesProcesses.jl package to fit, validate and interpret the parameters for these types of models.
Dean Markwick
I am a quant for BestX and use Julia in my day to day work of assessing trading costs across different financial markets. Outside of my day job you'll find me writing on a variety of topics for my blog or tinkering away on different Julia packages.