Related papers: Quadratic Hawkes processes for financial prices
Hawkes Processes are a type of point process for modeling self-excitation, i.e., when the occurrence of an event makes future events more likely to occur. The corresponding self-triggering function of this type of process may be inferred…
Accurate modeling of the temporal evolution of asset prices is crucial for understanding financial markets. We explore the potential of discrete-time quantum walks to model the evolution of asset prices. Return distributions obtained from a…
This paper introduces novel volatility diffusion models to account for the stylized facts of high-frequency financial data such as volatility clustering, intra-day U-shape, and leverage effect. For example, the daily integrated volatility…
Asynchronous events sequences are widely distributed in the natural world and human activities, such as earthquakes records, users activities in social media and so on. How to distill the information from these seemingly disorganized data…
Self-exciting processes of Hawkes type have been used to model various phenomena including earthquakes, neural activities, and views of online videos. Studies of temporal networks have revealed that sequences of social interevent times for…
This paper considers population processes in which general, not necessarily Markovian, multivariate Hawkes processes dictate the stochastic arrivals. We establish results to determine the corresponding time-dependent joint probability…
The order flow in high-frequency financial markets has been of particular research interest in recent years, as it provides insights into trading and order execution strategies and leads to better understanding of the supply-demand…
This paper is devoted to establishing the full scaling limit theorems for multivariate Hawkes processes. Under some mild conditions on the exciting kernels, we develop a new way to prove that after a suitable time-spatial scaling, the…
This paper proposes methods for Bayesian inference in time-varying parameter (TVP) quantile regression (QR) models featuring conditional heteroskedasticity. I use data augmentation schemes to render the model conditionally Gaussian and…
Keeping a basic tenet of economic theory, rational expectations, we model the nonlinear positive feedback between agents in the stock market as an interplay between nonlinearity and multiplicative noise. The derived hyperbolic stochastic…
High frequency financial data is burdened by a level of randomness that is unavoidable and obfuscates the task of modelling. This idea is reflected in the intraday evolution of limit orders book data for many financial assets and suggests…
We propose a simulation method for multidimensional Hawkes processes based on superposition theory of point processes. This formulation allows us to design efficient simulations for Hawkes processes with differing exponentially decaying…
Temporal point processes (TPP) are a natural tool for modeling event-based data. Among all TPP models, Hawkes processes have proven to be the most widely used, mainly due to their adequate modeling for various applications, particularly…
This paper investigates the application of Quantum Generative Adversarial Networks (QGANs) for stock price prediction. Financial markets are inherently complex, marked by high volatility and intricate patterns that traditional models often…
In a discrete-time setting, we consider an arrival process $\left\{\xi_n \, \middle| \, n = 1, 2, \ldots \right\}$, which models the occurrence of events, and a corresponding point process $\left\{H_n \, \middle| \, n = 1, 2, \ldots…
We define a new model using a Hawkes process as a subordinator in a standard Brownian motion. We demonstrate that this Hawkes subordinated Brownian motion or more succinctly, variance-Hawkes process can be fit to 2018 and 2019 natural gas…
This study explores contagion in the Chinese stock market using Hawkes processes to analyze autocorrelation and cross-correlation in multivariate time series data. We examine whether market indices exhibit trending behavior and whether…
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…
Animal acoustic communication often exhibits temporal dependence, with calls triggering or suppressing subsequent calls within and across call types, individuals, or species. While Hawkes processes provide a natural framework for modeling…
We show that typical behaviors of market participants at the high frequency scale generate leverage effect and rough volatility. To do so, we build a simple microscopic model for the price of an asset based on Hawkes processes. We encode in…