Related papers: Branching ratio approximation for the self-excitin…
Multivariate Hawkes Processes (MHPs) are an important class of temporal point processes that have enabled key advances in understanding and predicting social information systems. However, due to their complex modeling of temporal…
The Hawkes process is a widely used model in many areas, such as finance, seismology, neuroscience, epidemiology, and social sciences. Estimation of the Hawkes process from continuous observations of a sample path is relatively…
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 capture self-excitation and mutual-excitation between events when the arrival of an event makes future events more likely to happen. Identification of such temporal covariance can reveal the underlying structure to better…
Multi-dimensional Hawkes process (MHP) is a class of self and mutually exciting point processes that find wide range of applications -- from prediction of earthquakes to modelling of order books in high frequency trading. This paper makes…
We study the continuous time limit of a self-exciting negative binomial process and discuss the critical properties of its intensity distribution. In this limit, the process transforms into a marked Hawkes process. The probability mass…
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…
Price changes are induced by aggressive market orders in stock market. We introduce a bivariate marked Hawkes process to model aggressive market order arrivals at the microstructural level. The order arrival intensity is marked by an…
We aim to explicitly model the delayed Granger causal effects based on multivariate Hawkes processes. The idea is inspired by the fact that a causal event usually takes some time to exert an effect. Studying this time lag itself is of…
We present a Hawkes model approach to foreign exchange market in which the high frequency price dynamics is affected by a self exciting mechanism and an exogenous component, generated by the pre-announced arrival of macroeconomic news. By…
Single-cell lineage tracking strategies enabled by recent experimental technologies have produced significant insights into cell fate decisions, but lack the quantitative framework necessary for rigorous statistical analysis of mechanistic…
As an extension of self-exciting Hawkes process, the multivariate Hawkes process models counting processes of different types of random events with mutual excitement. In this paper, we present a perfect sampling algorithm that can generate…
We propose and investigate two model classes for forward power price dynamics, based on continuous branching processes with immigration, and on Hawkes processes with exponential kernel, respectively. The models proposed exhibit jumps…
The marked Hawkes risk process is a compound point process for which the occurrence and amplitude of past events impact the future. Thanks to its autoregressive properties, it found applications in various fields such as neuosciences,…
Given a collection of entities (or nodes) in a network and our intermittent observations of activities from each entity, an important problem is to learn the hidden edges depicting directional relationships among these entities. Here, we…
We consider a 2-dimensional marked Hawkes process with increasing baseline intensity in order to model prices on electricity intraday markets. This model allows to represent different empirical facts such as increasing market activity,…
We model the arrival of mid-price changes in the E-Mini S&P futures contract as a self-exciting Hawkes process. Using several estimation methods, we find that the Hawkes kernel is power-law with a decay exponent close to -1.15 at short…
This paper extends the existing fractional Hawkes process to better model mainshock-aftershock sequences of earthquakes. The fractional Hawkes process is a self-exciting point process model with temporal decay kernel being a Mittag-Leffler…
We propose a novel probabilistic framework to model continuous-time interaction events data. Our goal is to infer the \emph{implicit} community structure underlying the temporal interactions among entities, and also to exploit how the…
We determine the large size limit of a network of interacting Hawkes Processes on an adaptive network. The flipping of the node variables is taken to have an intensity given by the mean-field of the afferent edges and nodes. The flipping of…