# Modelling Microstructure Noise Using Hawkes Processes

**URL:** <https://discourse.julialang.org/t/modelling-microstructure-noise-using-hawkes-processes/81298>\
**Category:** Finance and Economics\
**Created:** [May 19, 2022, 5:06am UTC](https://discourse.julialang.org/t/modelling-microstructure-noise-using-hawkes-processes/81298 "2022-05-19T05:06:22Z")\
**Posts on this page:** 1\
**Page:** 1

<div class="post-metadata">

**Author:** ![dm13450](https://avatars.discourse-cdn.com/v4/letter/d/eada6e/32.png) [@dm13450](https://discourse.julialang.org/u/dm13450)\
**Post date:** [May 19, 2022, 5:06am UTC](https://discourse.julialang.org/t/modelling-microstructure-noise-using-hawkes-processes/81298/1 "2022-05-19T05:06:22Z")

</div>

Using Julia I’ve shown how you can use Hawkes processes to model the high frequency phenomenon of microstructure noise. This is where the volatility of an asset blows up as you move to smaller timescales.

My post is written completley in Julia and shows how easy it can be to translate the code from the paper into practical results:

> **[Modelling Microstructure Noise Using Hawkes Processes](https://dm13450.github.io/2022/05/11/modelling-microstructure-noise-using-hawkes-processes.html)**
>
> Microstructure noise is where the price we observe isn’t the ‘true’ price of the underlying asset. The observed price doesn’t diffuse as we assume in your typical derivative pricing models, but instead, we see some quirks in the underlying data. For...