Related papers: Hawkes Processes
The Hawkes process has become a standard method for modeling self-exciting event sequences with different event types. A recent work has generalized the Hawkes process to a neurally self-modulating multivariate point process, which enables…
Locally stationary Hawkes processes have been introduced in order to generalise classical Hawkes processes away from stationarity by allowing for a time-varying second-order structure. This class of self-exciting point processes has…
The superposition of temporal point processes has been studied for many years, although the usefulness of such models for practical applications has not be fully developed. We investigate superposed Hawkes process as an important class of…
Traditionally, Hawkes processes are used to model time--continuous point processes with history dependence. Here we propose an extended model where the self--effects are of both excitatory and inhibitory type and follow a Gaussian Process.…
The Hawkes process is a counting process that has self- and mutually-exciting features with many applications in various fields. In recent years, there have been many interests in the mean-field results of the Hawkes process and its…
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…
This chapter provides an accessible introduction for point processes, and especially Hawkes processes, for modeling discrete, inter-dependent events over continuous time. We start by reviewing the definitions and the key concepts in point…
The self-exciting Hawkes process is widely used to model events which occur in bursts. However, many real world data sets contain missing events and/or noisily observed event times, which we refer to as data distortion. The presence of such…
A point process for event arrivals in high frequency trading is presented. The intensity is the product of a Hawkes process and high dimensional functions of covariates derived from the order book. Conditions for stationarity of the process…
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,…
Both Hawkes processes and autoregressive processes rely on linear functionals of their past, while modeling different types of data. Since datasets arising from observations of the same phenomenon may be heterogeneous and sampled at…
An extension of the Hawkes model where the productivity is variable is considered. In particular, the case is considered where each point may have its own productivity and a simple analytic formula is derived for the maximum likelihood…
As a tool for capturing irregular temporal dependencies (rather than resorting to binning temporal observations to construct time series), Hawkes processes with exponential decay have seen widespread adoption across many application…
We introduce a Hawkes-like process and study its scaling limit as the system becomes increasingly endogenous. We derive functional limit theorems for intensity and fluctuations. Then, we introduce a high-frequency model for a price of a…
The Hawkes model is suitable for describing self and mutually exciting random events. In addition, the exponential decay in the Hawkes process allows us to calculate the moment properties in the model. However, due to the complexity of the…
Numerous studies grounded on Hawkes processes have been carried out in many fields including finance, biology and social network. Hawkes processes form a class of selfexciting simple point processes. In this article, we consider a general…
We study the spatio-temporal prediction problem, which has attracted the attention of many researchers due to its critical real-life applications. In particular, we introduce a novel approach to this problem. Our approach is based on the…
This paper extends the existing fractional Hawkes process to better model mainshock-aftershock sequences of earthquakes. The fractional Hawkes process is a self-exciting point process model with temporal decay kernel being a Mittag-Leffler…
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…
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…