Before revision: We present a careful analysis of possible issues of the application of the self-excited Hawkes process to high-frequency financial data and carefully analyze a set of effects that lead to significant biases in the estimation of the "criticality index" n that quantifies the degree of endogeneity of how much past events trigger future events.
After revision: We present a careful analysis of possible issues of the application of the self-excited Hawkes process to high-frequency financial data . We carefully analyze a set of effects that lead to significant biases in the estimation of the "criticality index" n that quantifies the degree of endogeneity of how much past events trigger future events.