Point Processes
Point processes model random event times and types. Their intensities can depend on time, market state, and prior events.
Central questions
- What does a conditional intensity predict?
- When is a Poisson assumption contradicted by clustering or inhibition?
- How are marks such as side, size, or event type included?
Planned model
Generate homogeneous, state-dependent, and self-exciting arrivals and compare durations, clustering, likelihood, and simulated book consequences.