Related papers: Disentangling and quantifying market participant v…
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…
It has been suggested that marked point processes might be good candidates for the modelling of financial high-frequency data. A special class of point processes, Hawkes processes, has been the subject of various investigations in the…
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…
We develop a behavioral asset pricing model in which agents trade in a market with information friction. Profit-maximizing agents switch between trading strategies in response to dynamic market conditions. Due to noisy private information…
We study an agent-based stock market model with heterogeneous agents and friction. Our model is based on that of Foellmer-Schweizer(1993): The process of a stock price in a discrete-time framework is determined by temporary equilibria via…
Several models of stock trading [P. Bak et al, Physica A {\bf 246}, 430 (1997)] are analyzed in analogy with one-dimensional, two-species reaction-diffusion-branching processes. Using heuristic and scaling arguments, we show that the…
Hawkes processes are a class of point processes that have the ability to model the self- and mutual-exciting phenomena. Although the classic Hawkes processes cover a wide range of applications, their expressive ability is limited due to…
In this article we consider the volatility inference in the presence of both market microstructure noise and endogenous time. Estimators of the integrated volatility in such a setting are proposed, and their asymptotic properties are…
Independent voters play an increasingly decisive role in contemporary elections, yet their collective behavior remains poorly understood. This paper investigates how a minority of voters with greater flexibility in their political…
We define and study a rather complex market model, inspired from the Santa Fe artificial market and the Minority Game. Agents have different strategies among which they can choose, according to their relative profitability, with the…
We prove a law of large numbers and a functional central limit theorem for multivariate Hawkes processes observed over a time interval $[0,T]$ in the limit $T \rightarrow \infty$. We further exhibit the asymptotic behaviour of the…
We propose an agent-based model of active flexible rods. Inspired by cytoskeletal flows, we introduce activity by an internal flow that contributes to the dissipative forces. The active force between our agents is central and reciprocal,…
We propose an extension to Hawkes processes by treating the levels of self-excitation as a stochastic differential equation. Our new point process allows better approximation in application domains where events and intensities accelerate…
We present a Hawkes modeling of the volatility surface's high-frequency dynamics and show how the Hawkes kernel coefficients govern the surface's skew and convexity. We provide simple sufficient conditions on the coefficients to ensure…
Hawkes processes are a class of simple point processes that are self-exciting and have clustering effect, with wide applications in finance, social networks and many other fields. This paper considers a self-exciting Hawkes process where…
This study examine the theoretical and empirical perspectives of the symmetric Hawkes model of the price tick structure. Combined with the maximum likelihood estimation, the model provides a proper method of volatility estimation…
Dynamic heterogeneity has often been modeled by assuming that a single-particle observable, fluctuating at a molecular scale, is influenced by its coupling to environmental variables fluctuating on a second, perhaps slower, time scale.…
We present a numerically efficient approach for learning a risk-neutral measure for paths of simulated spot and option prices up to a finite horizon under convex transaction costs and convex trading constraints. This approach can then be…
Event occurrence is not only subject to the environmental changes, but is also facilitated by the events that have occurred in a system. Here, we develop a method for estimating such extrinsic and intrinsic factors from a single series of…
The use of kinetic modelling based on partial differential equations for the dynamics of stock price formation in financial markets is briefly reviewed. The importance of behavioral aspects in market booms and crashes and the role of…