Related papers: Benefits from Superposed Hawkes Processes

We introduce a point process regression model that is applicable to price models and limit order book models. Hawkes type autoregression in the intensity process is generalized to a stochastic regression to covariate processes. We establish…

One of the most surprising and exciting discoveries in supervised learning was the benefit of overparameterization (i.e. training a very large model) to improving the optimization landscape of a problem, with minimal effect on statistical…

Hawkes processes are point process models that have been used to capture self-excitatory behavior in social interactions, neural activity, earthquakes and viral epidemics. They can model the occurrence of the times and locations of events.…

Learning the latent network structure from large scale multivariate point process data is an important task in a wide range of scientific and business applications. For instance, we might wish to estimate the neuronal functional…

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…

For the challenging task of modeling multivariate time series, we propose a new class of models that use dependent Mat\'ern processes to capture the underlying structure of data, explain their interdependencies, and predict their unknown…

Hawkes processes have been shown to be efficient in modeling bursty sequences in a variety of applications, such as finance and social network activity analysis. Traditionally, these models parameterize each process independently and assume…

We introduce and establish the main properties of QHawkes ("Quadratic" Hawkes) models. QHawkes models generalize the Hawkes price models introduced in E. Bacry et al. (2014), by allowing all feedback effects in the jump intensity that are…

Online learning of Hawkes processes has received increasing attention in the last couple of years especially for modeling a network of actors. However, these works typically either model the rich interaction between the events or the latent…

Conditional extreme value theory (EVT) methods promise enhanced forecasting of the extreme tail events that often dominate systemic risk. We present an improved two-tailed peaks-over-threshold (2T-POT) Hawkes model that is adapted for…

In this paper we develop the first perfect sampling algorithm for queues with Hawkes input, i.e. single-server queues with Hawkes arrivals and i.i.d. service times of general distribution. In addition to the stability condition, we also…

In real world social networks, there are multiple cascades which are rarely independent. They usually compete or cooperate with each other. Motivated by the reinforcement theory in sociology we leverage the fact that adoption of a user to…

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…

As an extension of self-exciting Hawkes process, the multivariate Hawkes process models counting processes of different types of random events with mutual excitement. In this paper, we present a perfect sampling algorithm that can generate…

Due to its clustering and self-exciting properties, the Hawkes process has been used extensively in numerous fields ranging from sismology to finance. Since data is often aquired on regular time intervals, we propose a piece-wise constant…

Generative models of complex systems often require post-hoc parameter adjustments to produce useful outputs. For example, energy-based models for protein design are sampled at an artificially low ''temperature'' to generate novel,…

Event data consisting of time of occurrence of the events arises in several real-world applications. Recent works have introduced neural network based point processes for modeling event-times, and were shown to provide state-of-the-art…

Hawkes process is a class of simple point processes that is self-exciting and has clustering effect. The intensity of this point process depends on its entire past history. It has wide applications in finance, neuroscience and many other…

Hawkes processes were first introduced to obtain microscopic models for the rough volatility observed in asset prices. Scaling limits of such processes leads to the rough-Heston model that describes the macroscopic behavior. Blanc et al.…

Learning causal structure among event types on multi-type event sequences is an important but challenging task. Existing methods, such as the Multivariate Hawkes processes, mostly assumed that each sequence is independent and identically…