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Intraday FX Strategy - Hawkes process

First attempt with Hawkes process. Holding period < 4 minutes.
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Very interesting! I have not heard of this method before. Will have to look into it.
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Cool Pravin -- just a note you haven't defined your own FX model here, just re initialized the default one:
Securities[symbol].Model = new ForexTransactionModel();

You can copy the github code and create a new FX model class which matches the interface i.e in this example: https://www.quantconnect.com/forum/discussion/135/how-do-i-alter-the-fx-fill-model#Item_7
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Indeed, very interesting!
Could you briefly explain those hawkes parameters?
Is there any further reading on this?
Thank you.
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http://jheusser.github.io/2013/09/08/hawkes.html
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Satya, Could you explain how are you using 'count' in your calculations? I understand that in a bivariate self exciting process when a buy is causing a buy you are multiplying count by 2 and same for sell induced by a sell order.
Further how do you use count in "bfactor_ += exp * count;" I guess I am missing something here ..
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Abhay, I attempted to model a price intensity (instead of trading intensity). That is time it takes to cross 1 pip. Maybe I got it wrong.
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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