Related papers: Hawkes processes in finance
The Hawkes process has garnered attention in recent years for its suitability to describe the behavior of online information cascades. Here, we present a fully tractable approach to analytically describe the distribution of the number of…
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…
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…
Recent years have seen an unprecedented rise of the role that technology plays in all aspects of human activities. Unavoidably, technology has heavily entered the Capital Markets trading space, to the extent that all major exchanges are now…
Multivariate Hawkes Processes (MHPs) are a class of point processes that can account for complex temporal dynamics among event sequences. In this work, we study the accuracy and computational efficiency of three classes of algorithms which,…
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…
This work contributes to the theory and applications of Hawkes processes. We introduce and examine a new class of Hawkes processes that we call generalized Hawkes processes, and their special subclass -- the generalized multivariate Hawkes…
We present a careful analysis of possible issues on the application of the self-excited Hawkes process to high-frequency financial data. We carefully analyze a set of effects leading to significant biases in the estimation of the…
We prove a law of large numbers and a functional central limit theorem for multivariate Hawkes processes observed over a time interval $[0,T]$ in the limit $T \rightarrow \infty$. We further exhibit the asymptotic behaviour of the…
Hawkes process is a simple point process 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, neuroscience, social networks,…
The extent to which a matching engine can cloud the modelling of underlying order submission and management processes in a financial market remains an unanswered concern with regards to market models. Here we consider a 10-variate Hawkes…
This work focuses on a self-exciting point process defined by a Hawkes-like intensity and a switching mechanism based on a hidden Markov chain. Previous works in such a setting assume constant intensities between consecutive events. We…
High-frequency market making is a liquidity-providing trading strategy that simultaneously generates many bids and asks for a security at ultra-low latency while maintaining a relatively neutral position. The strategy makes a profit from…
Hawkes processes are point processes with self-exciting and clustering properties that are popular in applications. In recent years, renewal Hawkes processes have gained attention, due to their versatility such as the capability of…
The Hawkes process is a simple point process that has long memory, clustering effect, self-exciting property and is in general non-Markovian. The future evolution of a self-exciting point process is influenced by the timing of the past…
The multivariate Hawkes process is a past-dependent point process used to model the relationship of event occurrences between different phenomena.Although the Hawkes process was originally introduced to describe excitation effects, which…
This study investigates and uses multi-kernel Hawkes models to describe a high-frequency mid-price process. Each kernel represents a different responsive speed of market participants. Using the conditional Hessian, we examine whether the…
Given a stationary point process, an intensity burst is defined as a short time period during which the number of counts is larger than the typical count rate. It might signal a local non-stationarity or the presence of an external…
The Hawkes process is a class of point processes whose future depends on their own history. Previous theoretical work on the Hawkes process is limited to a special case in which a past event can only increase the occurrence of future…
It has been suggested that marked point processes might be good candidates for the modelling of financial high-frequency data. A special class of point processes, Hawkes processes, has been the subject of various investigations in the…