Related papers: Simulation and estimation of a point-process marke…

This paper investigates real-time detection of spoofing activity in limit order books, focusing on cryptocurrency centralized exchanges. We first introduce novel order flow variables based on multi-scale Hawkes processes that account both…

As an extension of self-exciting Hawkes process, the multivariate Hawkes process models counting processes of different types of random events with mutual excitement. In this paper, we present a perfect sampling algorithm that can generate…

In this paper, we are interested in linear prediction of a particular kind of stochastic process, namely a marked temporal point process. The observations are event times recorded on the real line, with marks attached to each event. We show…

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…

Limit Order Books (LOBs) serve as a mechanism for buyers and sellers to interact with each other in the financial markets. Modelling and simulating LOBs is quite often necessary for calibrating and fine-tuning the automated trading…

The dynamics of financial markets are driven by the interactions between participants, as well as the trading mechanisms and regulatory frameworks that govern these interactions. Decision-makers would rather not ignore the impact of other…

We introduce a new non parametric method that allows for a direct, fast and efficient estimation of the matrix of kernel norms of a multivariate Hawkes process, also called branching ratio matrix. We demonstrate the capabilities of this…

This chapter provides an accessible introduction for point processes, and especially Hawkes processes, for modeling discrete, inter-dependent events over continuous time. We start by reviewing the definitions and the key concepts in point…

Ensuring fairness of machine learning systems is a human-in-the-loop process. It relies on developers, users, and the general public to identify fairness problems and make improvements. To facilitate the process we need effective, unbiased,…

In this paper, we establish a large deviations principle for a multivariate compound process induced by a multivariate Hawkes process with random marks. Our proof hinges on showing essential smoothness of the limiting cumulant of the…

Classic results show that the Hawkes self-exciting point process can be viewed as a collection of temporal clusters, where exogenously generated initial events give rise to endogenously driven descendant events. This perspective provides…

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…

In this paper, we build a model for biological neural nets where the activity of the network is described by Hawkes processes having a variable length memory. The particularity of this paper is to deal with an infinite number of components.…

Self-exciting processes of Hawkes type have been used to model various phenomena including earthquakes, neural activities, and views of online videos. Studies of temporal networks have revealed that sequences of social interevent times for…

In both finance and economics, quantitative models are usually studied as isolated mathematical objects --- most often defined by very strong simplifying assumptions concerning rationality, efficiency and the existence of disequilibrium…

Price changes are induced by aggressive market orders in stock market. We introduce a bivariate marked Hawkes process to model aggressive market order arrivals at the microstructural level. The order arrival intensity is marked by an…

We study discrete-time predictable forward processes when trading times do not coincide with performance evaluation times in a binomial tree model for the financial market. The key step in the construction of these processes is to solve a…

Patient healthcare utilization consists of irregularly time-stamped events, such as outpatient visits, inpatient admissions, and emergency encounters, forming individualized care trajectories. Modeling these trajectories is crucial for…

Event history data from sports competitions have recently drawn increasing attention in sports analytics to generate data-driven strategies. Such data often exhibit self-excitation in the event occurrence and dependence within event…

Multi-agent market simulators usually require careful calibration to emulate real markets, which includes the number and the type of agents. Poorly calibrated simulators can lead to misleading conclusions, potentially causing severe loss…