Related papers: Quadratic Hawkes processes for financial prices

We consider a tick-by-tick model of price formation, in which buy and sell orders are modeled as self-exciting point processes (Hawkes process), similar to the one in [Bacry, Delattre, Hoffmann, Muzy, Modelling microstructure noise with…

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 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…

Classic estimation methods for Hawkes processes rely on the assumption that observed event times are indeed a realisation of a Hawkes process, without considering any potential perturbation of the model. However, in practice, observations…

Aggressive behavior in autistic inpatient youth often arises in temporally clustered bursts complicating efforts to distinguish external triggers from internal escalation. The sample population branching factor-the expected number of new…

We consider the problem of option pricing and hedging when stock returns are correlated in time. Within a quadratic-risk minimisation scheme, we obtain a general formula, valid for weakly correlated non-Gaussian processes. We show that for…

This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns and trade arrivals. Our main contributions are threefold. First, we characterize the distributional behavior of…

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…

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…

We construct a holographic map that takes the semi-classical state of an evaporating black hole and its Hawking radiation to a microscopic model that reflects the scrambling dynamics of the black hole. The microscopic model is given by a…

This paper proposes a theory of stock market predictability patterns based on a model of heterogeneous beliefs. In a discrete finite time framework, some agents receive news about an asset's fundamental value through a noisy signal. The…

Driven by the recent surge in neural-inspired modeling, point processes have gained significant traction in systems and control. While the Hawkes process is the standard model for characterizing random event sequences with memory,…

We generalise the construction of multivariate Hawkes processes to a possibly infinite network of counting processes on a directed graph $\mathbb G$. The process is constructed as the solution to a system of Poisson driven stochastic…

We present a tractable non-independent increment process which provides a high modeling flexibility. The process lies on an extension of the so-called Harris chains to continuous time being stationary and Feller. We exhibit constructions,…

We propose a novel class of network models for temporal dyadic interaction data. Our goal is to capture a number of important features often observed in social interactions: sparsity, degree heterogeneity, community structure and…

In this paper we discuss the problem of the estimation of extreme event occurrence probability for data drawn from some multifractal process. We also study the heavy (power-law) tail behavior of probability density function associated with…

Across a wide variety of applications, the self-exciting Hawkes process has been used to model phenomena in which the history of events influences future occurrences. However, there may be many situations in which the past events only…

Recently nonparametric functional model with functional responses has been proposed within the functional reproducing kernel Hilbert spaces (fRKHS) framework. Motivated by its superior performance and also its limitations, we propose a…

We derive a semi-analytical pricing formula for European VIX call options under the Heston-Hawkes stochastic volatility model introduced in arXiv:2210.15343. This arbitrage-free model incorporates the volatility clustering feature by adding…

The extent to which a matching engine can cloud the modelling of underlying order submission and management processes in a financial market remains an unanswered concern with regards to market models. Here we consider a 10-variate Hawkes…