Related papers: On Stability of Hawkes Process
Across a wide variety of applications, the self-exciting Hawkes process has been used to model phenomena in which the history of events influences future occurrences. However, there may be many situations in which the past events only…
Hawkes Processes are a type of point process which models self-excitement among time events. It has been used in a myriad of applications, ranging from finance and earthquakes to crime rates and social network activity analysis.Recently, a…
Multivariate Hawkes processes are past-dependant point processes originally introduced to model excitation effects, later extended to a nonlinear framework to account for the opposite effect, known as inhibition. Motivated by applications…
The Hawkes process is a self-exciting sample point process. It has wide applications in finance, social networks, criminology, seismology, and many other fields. With the development of storage technology, data-driven models are attracting…
Hawkes process is a class of simple point processes with self-exciting and clustering properties. Hawkes process has been widely applied in finance, neuroscience, social networks, criminology, seismology, and many other fields. In this…
We prove regenerative properties for the linear Hawkes process under minimal assumptions on the transfer function, which may have unbounded support. These results are applicable to sliding window statistical estimators. We exploit…
Hawkes process is a self-exciting point process with clustering effect whose intensity depends on its entire past history. It has wide applications in neuroscience, finance and many other fields. In this paper, we obtain a functional…
Hawkes process is a class of simple point processes that is self-exciting and has clustering effect. The intensity of this point process depends on its entire past history. It has wide applications in finance, insurance, neuroscience,…
Hawkes processes are a class of self-exciting point processes that are used to model complex phenomena. While most applications of Hawkes processes assume that event data occurs in continuous-time, the less-studied discrete-time version of…
Spatio-temporal Hawkes point processes are a particularly interesting class of stochastic point processes for modeling self-exciting behavior, in which the occurrence of one event increases the probability of other events occurring. These…
Point processes are widely used statistical models for continuous-time discrete event data, such as medical records, crime reports, and social network interactions, to capture the influence of historical events on future occurrences. In…
Hawkes process is a class of simple point processes with self-exciting and clustering properties. Hawkes process has been widely applied in finance, neuroscience, social networks, criminology, seismology, and many other fields. In this…
A point process for event arrivals in high frequency trading is presented. The intensity is the product of a Hawkes process and high dimensional functions of covariates derived from the order book. Conditions for stationarity of the process…
Numerous studies grounded on Hawkes processes have been carried out in many fields including finance, biology and social network. Hawkes processes form a class of selfexciting simple point processes. In this article, we consider a general…
We provide a new proof of the existence of Gibbs point processes with infinite range interactions, based on the compactness of entropy levels. Our main existence theorem holds under two assumptions. The first one is the standard stability…
In this paper we propose an overview of the recent academic literature devoted to the applications of Hawkes processes in finance. Hawkes processes constitute a particular class of multivariate point processes that has become very popular…
Because of their tractability and their natural interpretations in term of market quantities, Hawkes processes are nowadays widely used in high-frequency finance. However, in practice, the statistical estimation results seem to show that…
Multivariate Hawkes processes are a widely used class of self-exciting point processes, but maximum likelihood estimation naively scales as $O(N^2)$ in the number of events. The canonical linear exponential Hawkes process admits a faster…
The Hawkes process models self-exciting event streams, requiring a strictly non-negative and stable stochastic intensity. Standard identification methods enforce these properties using non-negative causal bases, yielding conservative…
Hawkes process (HP) is a point process with a conditionally dependent intensity function. This paper defines the tempered fractional Hawkes process (TFHP) by time-changing the HP with an inverse tempered stable subordinator. We obtained…