Related papers: Hawkes Process Kernel Structure Parametric Search …
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…
We estimate the general influence functions for spatio-temporal Hawkes processes using a tensor recovery approach by formulating the location dependent influence function that captures the influence of historical events as a tensor kernel.…
This paper presents a sequential randomized lowrank matrix factorization approach for incrementally predicting values of an unknown function at test points using the Gaussian Processes framework. It is well-known that in the Gaussian…
We consider hyperbolic partial differential equations (PDEs) for a dynamic description of the traffic behavior in road networks. These equations are coupled to a Hawkes process that models traffic accidents taking into account their…
The rapid growth of social media has been witnessed during recent years as a result of the prevalence of the internet. This trend brings an increasing interest in simulating social media which can provide valuable insights to both academic…
Criticality and symmetry, studied by the renormalization groups, lie at the heart of modern physics theories of matters and complex systems. However, surveying these properties with massive experimental data is bottlenecked by the…
We model the arrival of mid-price changes in the E-Mini S&P futures contract as a self-exciting Hawkes process. Using several estimation methods, we find that the Hawkes kernel is power-law with a decay exponent close to -1.15 at short…
We study by computer simulation the "Hawkes process" that was proposed in a recent paper by Crane and Sornette (Proc. Nat. Acad. Sci. USA 105, 15649 (2008)) as a plausible model for the dynamics of YouTube video viewing numbers. We test the…
In this work, we propose to catch the complexity of the membrane potential's dynamic of a motoneuron between its spikes, taking into account the spikes from other neurons around. Our approach relies on two types of data: extracellular…
In this paper we consider some non linear Hawkes processes with signed reproduction function (or memory kernel) thus exhibiting both self-excitation and inhibition. We provide a Law of Large Numbers, a Central Limit Theorem and large…
Hawkes (1971) introduced a powerful multivariate point process model of mutually exciting processes to explain causal structure in data. In this paper it is shown that the Granger causality structure of such processes is fully encoded in…
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.…
A determinantal point process (DPP) is a probabilistic model of set diversity compactly parameterized by a positive semi-definite kernel matrix. To fit a DPP to a given task, we would like to learn the entries of its kernel matrix by…
Multivariate Hawkes Processes (MHPs) are an important class of temporal point processes that have enabled key advances in understanding and predicting social information systems. However, due to their complex modeling of temporal…
This paper investigates Hawkes processes on the positive real line exhibiting both self-excitation and inhibition. Each point of this point process impacts its future intensity by the addition of a signed reproduction function. The case of…
The kernel function and its hyperparameters are the central model selection choice in a Gaussian proces (Rasmussen and Williams, 2006). Typically, the hyperparameters of the kernel are chosen by maximising the marginal likelihood, an…
In this paper we propose an overview of the recent academic literature devoted to the applications of Hawkes processes in finance. Hawkes processes constitute a particular class of multivariate point processes that has become very popular…
Hawkes processes have recently risen to the forefront of tools when it comes to modeling and generating sequential events data. Multidimensional Hawkes processes model both the self and cross-excitation between different types of events and…
In the last decade, Hawkes processes have received a lot of attention as good models for functional connectivity in neural spiking networks. In this paper we consider a variant of this process, the Age Dependent Hawkes process, which…
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…