Branching-ratio approximation for the self-exciting Hawkes process.

@article{Hardiman2014BranchingratioAF,
  title={Branching-ratio approximation for the self-exciting Hawkes process.},
  author={Stephen J. Hardiman and Jean-Philippe Bouchaud},
  journal={Physical review. E, Statistical, nonlinear, and soft matter physics},
  year={2014},
  volume={90 6},
  pages={
          062807
        }
}
We introduce a model-independent approximation for the branching ratio of Hawkes self-exciting point processes. Our estimator requires knowing only the mean and variance of the event count in a sufficiently large time window, statistics that are readily obtained from empirical data. The method we propose greatly simplifies the estimation of the Hawkes branching ratio, recently proposed as a proxy for market endogeneity and formerly estimated using numerical likelihood maximization. We employ… 
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