Related papers: Collective synchronization and high frequency syst…
The understanding of emergent collective phenomena in natural and social systems has driven the interest of scientists from different disciplines during decades. Among these phenomena, the synchronization of a set of interacting individuals…
In this work, we study the event occurrences of individuals interacting in a network. To characterize the dynamic interactions among the individuals, we propose a group network Hawkes process (GNHP) model whose network structure is observed…
We study a dynamical model of interconnected firms which allows for certain market imperfections and frictions, restricted here to be myopic price forecasts and slow adjustment of production. Whereas the standard rational equilibrium is…
Traditional stock market prediction methods commonly only utilize the historical trading data, ignoring the fact that stock market fluctuations can be impacted by various other information sources such as stock related events. Although some…
Univariate marked Hawkes processes are used to model a range of real-world phenomena including earthquake aftershock sequences, contagious disease spread, content diffusion on social media platforms, and order book dynamics. This paper…
In this work we bring out the existence of a novel kind of synchronization associated to the size of a complex system. A dichotomic random jump process associated to the dynamics of an externally driven stochastic system with $N$ coupled…
We introduce a multivariate Hawkes process with constraints on its conditional density. It is a multivariate point process with conditional intensity similar to that of a multivariate Hawkes process but certain events are forbidden with…
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…
We consider a population of $N$ interacting neurons, represented by a multivariate Hawkes process: the firing rate of each neuron depends on the history of the connected neurons. Contrary to the mean-field framework where the interaction…
We study the intraday behaviour of the statistical moments of the trading volume of the blue chip equities that composed the Dow Jones Industrial Average index between 2003 and 2014. By splitting that time interval into semesters, we…
In order to figure out and to forecast the emergence phenomena of social systems, we propose several probabilistic models for the analysis of financial markets, especially around a crisis. We first attempt to visualize the collective…
Since the beginning of the new millennium, stock markets went through every state from long-time troughs, trade suspensions to all-time highs. The literature on asset pricing hence assumes random processes to be underlying the movement of…
'Rich get richer' rule comforts previously often chosen actions. What is happening to the evolution of individual inclinations to choose an action when agents do interact ? Interaction tends to homogenize while each individual dynamics…
The occurrence of aftershocks following a major financial crash manifests the critical dynamical response of financial markets. Aftershocks put additional stress on markets, with conceivable dramatic consequences. Such a phenomenon has been…
We introduce the Hyperedge-triggered Hawkes (HTH) process for inferring higher-order interaction structure in multi-cellular systems from asynchronous event-time data. Beyond standard pairwise excitation, the HTH intensity includes a term…
In recent years there has been a surge of interest in the statistics of record-breaking events in stochastic processes. Along with that, many new and interesting applications of the theory of records were discovered and explored. The record…
The occurrence of abrupt dynamical transitions in the macroscopic state of a system has received growing attention. We present experimental evidence for abrupt transition via explosive synchronization in a real-world complex system, namely…
Event occurrence is not only subject to the environmental changes, but is also facilitated by the events that have occurred in a system. Here, we develop a method for estimating such extrinsic and intrinsic factors from a single series of…
Social media are transforming global communication and coordination and provide unprecedented opportunities for studying socio-technical domains. Here we study global dynamical patterns of communication on Twitter across many scales.…
According to the leading models in modern finance, the presence of intraday lead-lag relationships between financial assets is negligible in efficient markets. With the advance of technology, however, markets have become more sophisticated.…