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A neural network based model for multi-dimensional nonlinear Hawkes processes

Machine Learning 2023-03-07 v1 Machine Learning Statistical Finance

Abstract

This paper introduces the Neural Network for Nonlinear Hawkes processes (NNNH), a non-parametric method based on neural networks to fit nonlinear Hawkes processes. Our method is suitable for analyzing large datasets in which events exhibit both mutually-exciting and inhibitive patterns. The NNNH approach models the individual kernels and the base intensity of the nonlinear Hawkes process using feed forward neural networks and jointly calibrates the parameters of the networks by maximizing the log-likelihood function. We utilize Stochastic Gradient Descent to search for the optimal parameters and propose an unbiased estimator for the gradient, as well as an efficient computation method. We demonstrate the flexibility and accuracy of our method through numerical experiments on both simulated and real-world data, and compare it with state-of-the-art methods. Our results highlight the effectiveness of the NNNH method in accurately capturing the complexities of nonlinear Hawkes processes.

Keywords

Cite

@article{arxiv.2303.03073,
  title  = {A neural network based model for multi-dimensional nonlinear Hawkes processes},
  author = {Sobin Joseph and Shashi Jain},
  journal= {arXiv preprint arXiv:2303.03073},
  year   = {2023}
}
R2 v1 2026-06-28T09:03:13.985Z