Branching Ratio in R (Hawkes Model)

TW.Data=fread('test.txt',data.table=F)

colnames(TW.Data)=c("Name","Code","Date","Price","Vol")

TW.Codelist=unique(TW.Data$Code)

TW.Data=TW.Data %>% group_by(Name) %>% mutate(logRet=log(Price/lag(Price)))

TW.Data$Date=ymd(TW.Data$Date)

output=foreach(i = 1:length(TW.Codelist),.combine = 'rbind')%do%{

data=TW.Data %>% filter(Code==TW.Codelist[i]) %>% na.omit()

Strt.Date = data$Date[1]

Time= data %>% filter(data$logRet!=0) %>%

mutate(Time=Date - Strt.Date) %>%

as.data.frame() %>%

select(Time)

Time=as.numeric(Time$Time)

if(length(Time)<=2){

temp = data.frame(Code=TW.Codelist[i],Br=NA)

}else{

pstart = c(mu = 1, C = 1, a = 1)

ppm = ptproc(pts = Time, cond.int = hawkes.cond.int, params = pstart)

condition(ppm) = penalty(code = NULL, condition = quote(any(params < 0)))

model = ptproc.fit(ppm, optim.control = list(trace = 2), alpha = 1e+5, hessian = TRUE)

model.sum=summary(model)

fitted.value=model.sum$ppobj

Branch=fitted.value$params[3]/fitted.value$params[2]

temp = data.frame(Code=TW.Codelist[i],Br=Branch)

}

return(temp)

}

write.csv(output,"output.csv")