Cox Process — doubly stochastic Poisson for bursty market events

Cox Process — doubly stochastic Poisson for bursty market events

Standard Poisson processes assume constant event rates, but markets are bursty. The Cox Process (Doubly Stochastic Poisson) uses a CIR-driven random intensity to model trade arrivals, defaults, and volatility spikes more realistically.

• Markets have bursty event arrivals, not constant rates • Cox Process models random intensity • Applications: order book, defaults, vol spikes

(no tools tagged) Doubly Stochastic Poisson, Intensity Modeling, Point Processes, algorithmic trading, limit orders, stochastic modeling

Standard Poisson processes assume events happen at a constant rate. But in real financial markets, whether it's trade arrivals in the limit order book, corporate defaults, or volatility spikes—events come in waves. 🌊 ​That’s where the Cox Process (Doubly Stochastic Poisson Process) comes in. ​Instead of a fixed arrival rate, the intensity itself is a random process. In this visualization, the intensity follows a Cox-Ingersoll-Ross (CIR) model. ​When the intensity ribbon spikes, notice how the event dots cluster together. This is exactly how we model clustered market micro-structure events in algorithmic trading. 📈 🚨 Comment "Cox" for free code repository! victor_mcosta   7w Cox