Related papers: State-dependent Hawkes processes and their applica…
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, insurance, neuroscience,…
The Hawkes process is a simple point process, whose intensity function depends on the entire past history and is self-exciting and has the clustering property. The Hawkes process is in general non-Markovian. The linear Hawkes process has…
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…
We show that multivariate Hawkes processes coupled with the nonparametric estimation procedure first proposed in Bacry and Muzy (2015) can be successfully used to study complex interactions between the time of arrival of orders and their…
Empirical data reveals that the liquidity flow into the order book (depositions, cancellations andmarket orders) is influenced by past price changes. In particular, we show that liquidity tends todecrease with the amplitude of past…
The Hawkes process and its extensions effectively model self-excitatory phenomena including earthquakes, viral pandemics, financial transactions, neural spike trains and the spread of memes through social networks. The usefulness of these…
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…
We present a careful analysis of possible issues on the application of the self-excited Hawkes process to high-frequency financial data. We carefully analyze a set of effects leading to significant biases in the estimation of the…
We consider a population of $N$ interacting neurons, represented by a multivariate Hawkes process: the firing rate of each neuron depends on the history of the connected neurons. Contrary to the mean-field framework where the interaction…
This paper is devoted to the study of the number of customers in infinite-server systems driven by Hawkes processes. In these systems, the self-exciting arrival process is assumed to be represented by a Hawkes process and the self-exciting…
Point processes are widely used statistical models for continuous-time discrete event data, such as medical records, crime reports, and social network interactions, to capture the influence of historical events on future occurrences. In…
The present paper provides exact mathematical expressions for the high-order moments of spiking activity in a recurrently-connected network of linear Hawkes processes. It extends previous studies that have explored the case of a (linear)…
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…
Hawkes processes are a popular framework to model the occurrence of sequential events, i.e., occurrence dynamics, in several fields such as social diffusion. In real-world scenarios, the inter-arrival time among events is irregular.…
In this paper, we study various new Hawkes processes, namely, so-called general compound and regime-switching general compound Hawkes processes to model the price processes in the limit order books. We prove Law of Large Numbers (LLN) and…
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…
We introduce a Hawkes-like process and study its scaling limit as the system becomes increasingly endogenous. We derive functional limit theorems for intensity and fluctuations. Then, we introduce a high-frequency model for a price of a…
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…
We introduce the Hyperedge-triggered Hawkes (HTH) process for inferring higher-order interaction structure in multi-cellular systems from asynchronous event-time data. Beyond standard pairwise excitation, the HTH intensity includes a term…
This paper studies the fill probabilities of limit orders placed at different price levels in a limit order book. These probabilities play a central role in execution optimization, as limit orders are not guaranteed to be executed and…