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摘要翻译：
为了将自回归条件持续时间(ACD)模型中的内部动力与外生因素区分开来，我们提出了一种有效的内生性度量。受Hawkes模型的启发，这个度量被定义为在总体中由于内部反馈机制而触发的事件的平均分数。在数值模拟的基础上，我们给出了Hawkes模型和ACD模型的直接比较，并表明我们对ACD内生性的有效度量可以映射到Hawkes模型的“分支比”上。
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英文标题：
《Effective Measure of Endogeneity for the Autoregressive Conditional
Duration Point Processes via Mapping to the Self-Excited Hawkes Process》
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作者：
Vladimir Filimonov, Spencer Wheatley, Didier Sornette
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最新提交年份：
2014
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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英文摘要：
In order to disentangle the internal dynamics from exogenous factors within the Autoregressive Conditional Duration (ACD) model, we present an effective measure of endogeneity. Inspired from the Hawkes model, this measure is defined as the average fraction of events that are triggered due to internal feedback mechanisms within the total population. We provide a direct comparison of the Hawkes and ACD models based on numerical simulations and show that our effective measure of endogeneity for the ACD can be mapped onto the "branching ratio" of the Hawkes model.
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PDF链接：
https://arxiv.org/pdf/1306.2245
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