Related papers: Hawkes processes in finance
We analyze the probability density function (PDF) of waiting times between financial loss exceedances. The empirical PDFs are fitted with the self-excited Hawkes conditional Poisson process with a long power law memory kernel. The Hawkes…
We study a multivariate Hawkes process as a model for time-continuous relational event networks. The model does not assume the network to be known, it includes covariates, and it allows for both common drivers, parameters common to all the…
We propose a novel framework for modeling multiple multivariate point processes, each with heterogeneous event types that share an underlying space and obey the same generative mechanism. Focusing on Hawkes processes and their variants that…
This paper discusses a special class of nonlinear Hawkes processes, where the rate function is the exponential function. We call these processes loglinear Hawkes processes. In the main theorem, we give sufficient conditions for explosion…
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,…
Asynchronous events on the continuous time domain, e.g., social media actions and stock transactions, occur frequently in the world. The ability to recognize occurrence patterns of event sequences is crucial to predict which typeof events…
We generalise the construction of multivariate Hawkes processes to a possibly infinite network of counting processes on a directed graph $\mathbb G$. The process is constructed as the solution to a system of Poisson driven stochastic…
Multivariate point processes are widely applied to model event-type data such as natural disasters, online message exchanges, financial transactions or neuronal spike trains. One very popular point process model in which the probability of…
Using microscopic price models based on Hawkes processes, it has been shown that under some no-arbitrage condition, the high degree of endogeneity of markets together with the phenomenon of metaorders splitting generate rough Heston-type…
The event sequence of many diverse systems is represented as a sequence of discrete events in a continuous space. Examples of such an event sequence are earthquake aftershock events, financial transactions, e-commerce transactions, social…
We introduce a nonlinear modification of the classical Hawkes process, which allows inhibitory couplings between units without restrictions. The resulting system of interacting point processes provides a useful mathematical model for…
Dynamic jumps in the price and volatility of an asset are modelled using a joint Hawkes process in conjunction with a bivariate jump diffusion. A state space representation is used to link observed returns, plus nonparametric measures of…
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…
Hawkes processes are a class of simple point processes whose intensity depends on the past history, and is in general non-Markovian. Limit theorems for Hawkes processes in various asymptotic regimes have been studied in the literature. In…
We consider the learning of multi-agent Hawkes processes, a model containing multiple Hawkes processes with shared endogenous impact functions and different exogenous intensities. In the framework of stochastic maximum likelihood…
In this work we introduce two variants of multivariate Hawkes models with an explicit dependency on various queue sizes aimed at modeling the stochastic time evolution of a limit order book. The models we propose thus integrate the…
Instabilities in the price dynamics of a large number of financial assets are a clear sign of systemic events. By investigating a set of 20 high cap stocks traded at the Italian Stock Exchange, we find that there is a large number of high…
We study optimal liquidation strategies under partial information for a single asset within a finite time horizon. We propose a model tailored for high-frequency trading, capturing price formation driven solely by order flow through…
We show that multivariate Hawkes processes coupled with the nonparametric estimation procedure first proposed in Bacry and Muzy (2015) can be successfully used to study complex interactions between the time of arrival of orders and their…
Hawkes process provides an effective statistical framework for analyzing the time-dependent interaction of neuronal spiking activities. Although utilized in many real applications, the classic Hawkes process is incapable of modelling…