Related papers: Hawkes processes in finance
The stochastic control problem of optimal market making is among the central problems in quantitative finance. In this paper, a deep reinforcement learning-based controller is trained on a weakly consistent, multivariate Hawkes…
Online learning of Hawkes processes has received increasing attention in the last couple of years especially for modeling a network of actors. However, these works typically either model the rich interaction between the events or the latent…
High-speed computerized trading, often called "high-frequency trading" (HFT), has increased dramatically in financial markets over the last decade. In the US and Europe, it now accounts for nearly one-half of all trades. Although evidence…
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…
In this paper we provide an expansion formula for Hawkes processes which involves the addition of jumps at deterministic times to the Hawkes process in the spirit of the well-known integration by parts formula (or more precisely the Mecke…
Addressing the ongoing examination of high-frequency trading practices in financial markets, we report the results of an extensive empirical study estimating the maximum possible profitability of the most aggressive such practices, and…
Hawkes processes are a self-exciting stochastic process used to describe phenomena whereby past events increase the probability of the occurrence of future events. This work presents a flexible approach for modelling a variant of these,…
We investigate spatio-temporal event analysis using point processes. Inferring the dynamics of event sequences spatiotemporally has many practical applications including crime prediction, social media analysis, and traffic forecasting. In…
Hawkes processes are point process models that have been used to capture self-excitatory behavior in social interactions, neural activity, earthquakes and viral epidemics. They can model the occurrence of the times and locations of events.…
This work introduces a self and mutually exciting point process that embeds flexible residuals and intensity with discretely Markovian dynamics. By allowing the integration of diverse residual distributions, this model serves as an…
We study statistical aspects of state-dependent Hawkes processes, which are an extension of Hawkes processes where a self- and cross-exciting counting process and a state process are fully coupled, interacting with each other. The…
Market information events are generated intermittently and disseminated at high speeds in real-time. Market participants consume this high-frequency data to build limit order books, representing the current bids and offers for a given…
Foundational marked temporal point process (MTPP) models, such as the Hawkes process, often use inexpressive model families in order to offer interpretable parameterizations of event data. On the other hand, neural MTPPs models forego this…
In this paper, we present a nonparametric estimation procedure for the multivariate Hawkes point process. The timeline is cut into bins and -- for each component process -- the number of points in each bin is counted. The distribution of…
Detecting rare events, those defined to give rise to high impact but have a low probability of occurring, is a challenge in a number of domains including meteorological, environmental, financial and economic. The use of machine learning to…
In the last decade, Hawkes processes have received a lot of attention as good models for functional connectivity in neural spiking networks. In this paper we consider a variant of this process, the Age Dependent Hawkes process, which…
Nearly one-half of all trades in financial markets are executed by high-speed, autonomous computer programs -- a type of trading often called high-frequency trading (HFT). Although evidence suggests that HFT increases the efficiency of…
In this paper we study the number of customers in infinite-server queues with a self-exciting (Hawkes) arrival process. Initially we assume that service requirements are exponentially distributed and that the Hawkes arrival process is of a…
The spread of invasive species to new areas threatens the stability of ecosystems and causes major economic losses in agriculture and forestry. We propose a novel approach to minimizing the spread of an invasive species given a limited…
The Hawkes self-excited point process provides an efficient representation of the bursty intermittent dynamics of many physical, biological, geological and economic systems. By expressing the probability for the next event per unit time…