Related papers: Exponential Kernels with Latency in Hawkes Process…
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…
The neural Hawkes process (Mei & Eisner, 2017) is a generative model of irregularly spaced sequences of discrete events. To handle complex domains with many event types, Mei et al. (2020a) further consider a setting in which each event in…
This work focuses on a self-exciting point process defined by a Hawkes-like intensity and a switching mechanism based on a hidden Markov chain. Previous works in such a setting assume constant intensities between consecutive events. We…
In this study we introduce a novel energy functional for long-sequence memory, building upon the framework of dense Hopfield networks which achieves exponential storage capacity through higher-order interactions. Building upon earlier work…
In this paper we study the number of customers in infinite-server queues with a self-exciting (Hawkes) arrival process. Initially we assume that service requirements are exponentially distributed and that the Hawkes arrival process is of a…
We investigate the behavior of limit order books on the meso-scale motivated by order execution scheduling algorithms. To do so we carry out empirical analysis of the order flows from market and limit order submissions, aggregated from…
This paper proposes a low latency neural network architecture for event-based dense prediction tasks. Conventional architectures encode entire scene contents at a fixed rate regardless of their temporal characteristics. Instead, the…
We study networks obeying \emph{time-dependent} min-cost path metrics, and present novel oracles for them which \emph{provably} achieve two unique features: % (i) \emph{subquadratic} preprocessing time and space, \emph{independent} of the…
Multivariate Hawkes processes (MHPs) are versatile probabilistic tools used to model various real-life phenomena: earthquakes, operations on stock markets, neuronal activity, virus propagation and many others. In this paper, we focus on…
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…
Speculative decoding accelerates LLM inference by using a smaller draft model to speculate tokens that a larger target model verifies. Verification is often the bottleneck (e.g. verification is $4\times$ slower than token generation when a…
Learning causal structure among event types from discrete-time event sequences is a particularly important but challenging task. Existing methods, such as the multivariate Hawkes processes based methods, mostly boil down to learning the…
The Hawkes process has become a standard method for modeling self-exciting event sequences with different event types. A recent work has generalized the Hawkes process to a neurally self-modulating multivariate point process, which enables…
The paper presents sufficient conditions of predictability for continuous time processes in deterministic setting. We found that processes with exponential decay on energy for higher frequencies are predictable in some weak sense on some…
Neural networks rely on learning synaptic weights. However, this overlooks other neural parameters that can also be learned and may be utilized by the brain. One such parameter is the delay: the brain exhibits complex temporal dynamics with…
The Epps effect is key phenomenology relating to high frequency correlation dynamics in financial markets. We argue that it can be used to provide insight into whether tick data is best represented as samples from Brownian diffusions, or as…
We introduce a new model in order to describe the fluctuation of tick-by-tick financial time series. Our model, based on marked point process, allows us to incorporate in a unique process the duration of the transaction and the…
The Hawkes process is a simple point process that has long memory, clustering effect, self-exciting property and is in general non-Markovian. The future evolution of a self-exciting point process is influenced by the timing of the past…
This paper focuses on limit theorems for linear Hawkes processes with random marks. We prove a large deviation principle, which answers the question raised by Bordenave and Torrisi. A central limit theorem is also obtained. We conclude with…
Quantifying influence in networks is important across science, economics, and public health, yet widely used centrality measures remain limited: they rely on static representations, heuristic network constructions, and purely endogenous…