Related papers: Transform Analysis for Hawkes Processes with Appli…

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,…

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…

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…

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…

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…

Many events occur in the world. Some event types are stochastically excited or inhibited---in the sense of having their probabilities elevated or decreased---by patterns in the sequence of previous events. Discovering such patterns can help…

We examine a distributional fixed-point equation related to a multi-type branching process that is key in the cluster sizes analysis of multivariate heavy-tailed Hawkes processes. Specifically, we explore the tail behavior of its solution…

We consider the learning of multi-agent Hawkes processes, a model containing multiple Hawkes processes with shared endogenous impact functions and different exogenous intensities. In the framework of stochastic maximum likelihood…

We analyze the probability density function (PDF) of waiting times between financial loss exceedances. The empirical PDFs are fitted with the self-excited Hawkes conditional Poisson process with a long power law memory kernel. The Hawkes…

Given a collection of entities (or nodes) in a network and our intermittent observations of activities from each entity, an important problem is to learn the hidden edges depicting directional relationships among these entities. Here, we…

We propose and investigate two model classes for forward power price dynamics, based on continuous branching processes with immigration, and on Hawkes processes with exponential kernel, respectively. The models proposed exhibit jumps…

Multi-dimensional Hawkes process (MHP) is a class of self and mutually exciting point processes that find wide range of applications -- from prediction of earthquakes to modelling of order books in high frequency trading. This paper makes…

In this work we introduce two variants of multivariate Hawkes models with an explicit dependency on various queue sizes aimed at modeling the stochastic time evolution of a limit order book. The models we propose thus integrate the…

In this paper we introduce a new model named CARMA(p,q)-Hawkes process as the Hawkes model with exponential kernel implies a strictly decreasing behaviour of the autocorrelation function and empirically evidences reject the monotonicity…

We introduce a novel and efficient simulation scheme for Hawkes processes on a fixed time grid, leveraging their affine Volterra structure. The key idea is to first simulate the integrated intensity and the counting process using Inverse…

Using microscopic price models based on Hawkes processes, it has been shown that under some no-arbitrage condition, the high degree of endogeneity of markets together with the phenomenon of metaorders splitting generate rough Heston-type…

We propose a recursive method for the computation of the cumulants of self-exciting point processes of Hawkes type, based on standard combinatorial tools such as Bell polynomials. This closed-form approach is easier to implement on…

Because of their tractability and their natural interpretations in term of market quantities, Hawkes processes are nowadays widely used in high-frequency finance. However, in practice, the statistical estimation results seem to show that…

In this work, several convergence results are established for nearly critical self-excited systems in which event arrivals are described by multivariate marked Hawkes point processes. Under some mild high-frequency assumptions, the rescaled…

Reading is a process that unfolds across space and time, alternating between fixations where a reader focuses on a specific point in space, and saccades where a reader rapidly shifts their focus to a new point. An ansatz of…