Related papers: Collective synchronization and high frequency syst…
A simple Hawkes model have been developed for the price tick structure dynamics incorporating market microstructure noise and trade clustering. In this paper, the model is extended with random mark to deal with more realistic price tick…
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…
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…
Fueled in part by recent applications in neuroscience, the multivariate Hawkes process has become a popular tool for modeling the network of interactions among high-dimensional point process data. While evaluating the uncertainty of the…
This paper proposes a simple and parsimonious discrete-time simulation model to describe the endogenous formation and periodic collapse of financial bubbles. While existing literature has extensively explored the statistical properties of…
Financial markets, being spectacular examples of complex systems, display rich correlation structures among price returns of different assets. The correlation structures change drastically, akin to phase transitions in physical phenomena,…
The Hawks process is a point process with a self-exciting property. It has been used to model earthquakes, social media events, infections, etc., and is getting a lot of attention. However, as a real problem, there are often situations…
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 processes are a class of simple point processes that are self-exciting and have clustering effect, with wide applications in finance, social networks and many other fields. This paper considers a self-exciting Hawkes process where…
A Hawkes process model with a time-varying background rate is developed for analyzing the high-frequency financial data. In our model, the logarithm of the background rate is modeled by a linear model with a relatively large number of…
Social media are transforming global communication and coordination. The data derived from social media can reveal patterns of human behavior at all levels and scales of society. Using geolocated Twitter data, we have quantified collective…
We show that the emergence of systemic risk in complex systems can be understood from the evolution of functional networks representing interactions inferred from fluctuation correlations between macroscopic observables. Specifically, we…
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…
Rough volatility is a well-established statistical stylised fact of financial assets. This property has lead to the design and analysis of various new rough stochastic volatility models. However, most of these developments have been carried…
Quadratic Hawkes (QHawkes) processes have proved effective at reproducing the statistics of price changes, capturing many of the stylised facts of financial markets. Motivated by the recently reported strong occurrence of endogenous…
Synchronization processes in populations of locally interacting elements are in the focus of intense research in physical, biological, chemical, technological and social systems. The many efforts devoted to understand synchronization…
Using empirical data from a social media site (Twitter) and on trading volumes of financial securities, we analyze the correlated human activity in massive social organizations. The activity, typically excited by real-world events and…
Synchronization processes play critical roles in the functionality of a wide range of both natural and man-made systems. Recent work in physics and neuroscience highlights the importance of higher-order interactions between dynamical units,…
The emergence of collective behaviors in networks of dynamical units in pairwise interaction has been explained as the effect of diffusive coupling. How does the presence of higher-order interaction impact the onset of spontaneous or…
This study proposes a versatile model for the dynamics of the best bid and ask prices using an extended Hawkes process. The model incorporates the zero intensities of the spread-narrowing processes at the minimum bid-ask spread,…