Related papers: High-frequency dynamics of the implied volatility …
Patterns on curved surfaces are ubiquitous, yet the influence of surface geometry on pattern dynamics remains elusive. We recently reported a new mechanism of pattern propagation in which a static pattern on a flat plane becomes a…
We investigate the wrinkling dynamics of a thin elastic sheet that is indented or compressed while floating on a viscous liquid. We show that the deformation speed controls the dynamics, leading to a wrinkle wavelength significantly smaller…
We introduce a model for limit order book of a certain security with two main features: First, both the limit orders and market orders for the given asset are allowed to appear and interact with each other. Second, the high frequency…
Periodic traveling waves are numerically computed in a constant vorticity flow subject to the force of gravity. The Stokes wave problem is formulated via a conformal mapping as a nonlinear pseudo-differential equation, involving a periodic…
We establish the asymptotic validity of frequency-domain inference for stationary multivariate Hawkes processes under mild conditions, bridging the gap between theory and application. By developing upper-bounds on the reduced cumulant…
Recent literature seek to forecast implied volatility derived from equity, index, foreign exchange, and interest rate options using latent factor and parametric frameworks. Motivated by increased public attention borne out of the…
Hawkes processes are a self-exciting stochastic process used to describe phenomena whereby past events increase the probability of the occurrence of future events. This work presents a flexible approach for modelling a variant of these,…
We study a multivariate Hawkes process as a model for time-continuous relational event networks. The model does not assume the network to be known, it includes covariates, and it allows for both common drivers, parameters common to all the…
We report the experimental characterization of free-surface deformations generated by three-dimensional homogeneous and isotropic turbulence. Using Fourier transform profilometry in a jet-forced turbulent tank, we perform spatiotemporal…
We report the observation of wave turbulence on the surface of a ferrofluid mechanically forced and submitted to a static normal magnetic field. We show that magnetic surface waves arise only above a critical field. The power spectrum of…
Many self-exciting systems change because endogenous amplification, as opposed to exogenous forcing, varies. We study a Hawkes process with fixed background rate and kernel, but piecewise time-varying productivity. For exponential kernels…
Surfaces with filamentous structures are ubiquitous in nature on many different scales, ranging from forests to micrometer-sized cilia in organs. Hairy surfaces are elastic and porous, and it is not fully understood how they modify…
We propose the Hawkes flocking model that assesses systemic risk in high-frequency processes at the two perspectives -- endogeneity and interactivity. We examine the futures markets of WTI crude oil and gasoline for the past decade, and…
A jet of non-Brownian particles confined in a thin cell and driven by gravitational force is studied both numerically and theoretically. We present a theoretical scheme aimed to describe such a system in the Stokes regime. We focus on the…
The Hawkes process is a popular point process model for event sequences that exhibit temporal clustering. The intensity process of a Hawkes process consists of two components, the baseline intensity and the accumulated excitation effect due…
We propose a new framework for measuring connectedness among financial variables that arises due to heterogeneous frequency responses to shocks. To estimate connectedness in short-, medium-, and long-term financial cycles, we introduce a…
We establish the weak convergence of the intensity of a nearly-unstable Hawkes process with heavy-tailed kernel. Our result is used to derive a scaling limit for a financial market model where orders to buy or sell an asset arrive according…
We present a modified version of the non parametric Hawkes kernel estimation procedure studied in arXiv:1401.0903 that is adapted to slowly decreasing kernels. We show on numerical simulations involving a reasonable number of events that…
Univariate marked Hawkes processes are used to model a range of real-world phenomena including earthquake aftershock sequences, contagious disease spread, content diffusion on social media platforms, and order book dynamics. This paper…
Mechanochemical processes on surfaces such as the cellular cortex or epithelial sheets, play a key role in determining patterns and shape changes of biological systems. To understand the complex interplay of hydrodynamics and material flows…