Related papers: Simulation and estimation of a point-process marke…
We study statistical aspects of state-dependent Hawkes processes, which are an extension of Hawkes processes where a self- and cross-exciting counting process and a state process are fully coupled, interacting with each other. The…
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…
An extension of the Hawkes process, the Marked Hawkes process distinguishes itself by featuring variable jump size across each event, in contrast to the constant jump size observed in a Hawkes process without marks. While extensive…
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…
In this paper, we introduce a suite of models for price-aware automated market making platforms willing to optimize their quotes. These models incorporate advanced price dynamics, including stochastic volatility, jumps, and microstructural…
This study explores the application of Hawkes processes to model high-frequency data in the context of limit order books. Two distinct Hawkes-based models are proposed and analyzed: one utilizing exponential kernels and the other employing…
We develop a new family of marked point processes by focusing the characteristic properties of marked Hawkes processes exclusively to the space of marks, providing the freedom to specify a different model for the occurrence times. This is…
The Hawkes process is a self-exciting sample point process. It has wide applications in finance, social networks, criminology, seismology, and many other fields. With the development of storage technology, data-driven models are attracting…
Hawkes processes are a particularly interesting class of stochastic process that have been applied in diverse areas, from earthquake modelling to financial analysis. They are point processes whose defining characteristic is that they…
Fueled in part by recent applications in neuroscience, the multivariate Hawkes process has become a popular tool for modeling the network of interactions among high-dimensional point process data. While evaluating the uncertainty of the…
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 show that univariate and symmetric multivariate Hawkes processes are only weakly causal: the true log-likelihoods of real and reversed event time vectors are almost equal, thus parameter estimation via maximum likelihood only weakly…
We introduce a nonlinear modification of the classical Hawkes process, which allows inhibitory couplings between units without restrictions. The resulting system of interacting point processes provides a useful mathematical model for…
In this paper we introduce two new Hawkes processes, namely, compound and regime-switching compound Hawkes processes, to model the price processes in limit order books. We prove Law of Large Numbers and Functional Central Limit Theorems…
Generalized evolutionary point processes offer a class of point process models that allows for either excitation or inhibition based upon the history of the process. In this regard, we propose modeling which comprises generalization of the…
Market making is one of the most important aspects of algorithmic trading, and it has been studied quite extensively from a theoretical point of view. The practical implementation of so-called "optimal strategies" however suffers from the…
Multivariate Hawkes processes are a widely used class of self-exciting point processes, but maximum likelihood estimation naively scales as $O(N^2)$ in the number of events. The canonical linear exponential Hawkes process admits a faster…
Many fits of Hawkes processes to financial data look rather good but most of them are not statistically significant. This raises the question of what part of market dynamics this model is able to account for exactly. We document the…
Forecasting the degradation of coated materials has long been a topic of critical interest in engineering, as it has enormous implications for both system maintenance and sustainable material use. Material degradation is affected by many…
Market information events are generated intermittently and disseminated at high speeds in real-time. Market participants consume this high-frequency data to build limit order books, representing the current bids and offers for a given…