OPEN-SOURCE SCRIPT
Hawkes Branching [N4]
hawkes branching [n4] — the math under crashes.
every crash has the same internal shape. each large move increases the chance of the next, the kernel sustains itself, then it does not. this indicator plots the line.
what it does
λ_t is the asset's own self-exciting intensity, recursive and bounded. when the kernel α·exp(-β·t) sustains itself, the branching ratio η = α/β crosses 1 — the regime moves from stable to explosive. plotted as a histogram + threshold band at η = 1 (the bifurcation line, dashed white).
multi-timeframe coupling on D / W / M, with the canonical non-repaint idiom (request.security on [1] offset, lookahead_on). most TV Hawkes scripts repaint the realtime higher-TF bar; this one does not.
regime states
inputs
reference
Bacry, Mastromatteo, Muzy 2015 — "Hawkes processes in finance" (Market Microstructure & Liquidity vol. 1).
open source. educational. NFA. the code does not solve the risk, it names it.
every crash has the same internal shape. each large move increases the chance of the next, the kernel sustains itself, then it does not. this indicator plots the line.
what it does
λ_t is the asset's own self-exciting intensity, recursive and bounded. when the kernel α·exp(-β·t) sustains itself, the branching ratio η = α/β crosses 1 — the regime moves from stable to explosive. plotted as a histogram + threshold band at η = 1 (the bifurcation line, dashed white).
multi-timeframe coupling on D / W / M, with the canonical non-repaint idiom (request.security on [1] offset, lookahead_on). most TV Hawkes scripts repaint the realtime higher-TF bar; this one does not.
regime states
- ESPERAR / wait — η stable, λ low (secondary color)
- ATENCION / attention — λ rising, η near 1 (primary lighter)
- REGIMEN / regime — λ explosive OR η > 1 (primary intense)
inputs
- α (jump magnitude): default 0.6, sensible range 0.3 to 1.0
- β (decay rate): default 1.2, sensible range 0.5 to 3.0
- exceedance percentile: default 90, can tune to 95 for quieter assets
- lookback: 252 trading days
- idioma / language: es | en (deck labels toggle)
reference
Bacry, Mastromatteo, Muzy 2015 — "Hawkes processes in finance" (Market Microstructure & Liquidity vol. 1).
open source. educational. NFA. the code does not solve the risk, it names it.
開源腳本
秉持TradingView一貫精神，這個腳本的創作者將其設為開源，以便交易者檢視並驗證其功能。向作者致敬！您可以免費使用此腳本，但請注意，重新發佈代碼需遵守我們的社群規範。
免責聲明
這些資訊和出版物並非旨在提供，也不構成TradingView提供或認可的任何形式的財務、投資、交易或其他類型的建議或推薦。請閱讀使用條款以了解更多資訊。
免責聲明
這些資訊和出版物並非旨在提供，也不構成TradingView提供或認可的任何形式的財務、投資、交易或其他類型的建議或推薦。請閱讀使用條款以了解更多資訊。