Related papers: Order Book Queue Hawkes-Markovian Modeling
We propose an analytically tractable class of models for the dynamics of a limit order book, described through a stochastic partial differential equation (SPDE) with multiplicative noise for the order book centered at the mid-price, along…
In this paper we present elementary computations for some Markov modulated counting processes, also called counting processes with regime switching. Regime switching has become an increasingly popular concept in many branches of science. In…
Hawkes processes have recently gained increasing attention from the machine learning community for their versatility in modeling event sequence data. While they have a rich history going back decades, some of their properties, such as…
This paper proposes an Extended State-Dependent Hawkes Process (ExsdHawkes) to model the intricate dynamics of Limit Order Books (LOBs). Our theoretical contribution lies in relaxing traditional constraints by allowing for state…
We propose a novel probabilistic framework to model continuous-time interaction events data. Our goal is to infer the \emph{implicit} community structure underlying the temporal interactions among entities, and also to exploit how the…
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 develop a model for pricing, lead-time quotation and delay compensation in a Markovian make-to-order production or service system with strategic customers who exhibit risk aversion. Based on a concave utility function of their net…
Modeling the impact of the order flow on asset prices is of primary importance to understand the behavior of financial markets. Part I of this paper reported the remarkable improvements in the description of the price dynamics which can be…
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…
We introduce a class of hybrid marked point processes, which encompasses and extends continuous-time Markov chains and Hawkes processes. While this flexible class amalgamates such existing processes, it also contains novel processes with…
We study the analytical properties of a one-side order book model in which the flows of limit and market orders are Poisson processes and the distribution of lifetimes of cancelled orders is exponential. Although simplistic, the model…
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, neuroscience and many other…
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 Hawkes process is a class of point processes whose future depends on their own history. Previous theoretical work on the Hawkes process is limited to a special case in which a past event can only increase the occurrence of future…
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…
Given a stationary point process, an intensity burst is defined as a short time period during which the number of counts is larger than the typical count rate. It might signal a local non-stationarity or the presence of an external…
In this paper we consider classes of models that have been recently developed for quantitative finance that involve modelling a highly complex multivariate, multi-attribute stochastic process known as the Limit Order Book (LOB). The LOB is…
A self-exciting point process with a continuous-time autoregressive moving average intensity process, named CARMA(p,q)-Hawkes model, has recently been introduced. The model generalizes the Hawkes process by substituting the…
Order book dynamics play an important role in both execution time and price formation of orders in an exchange market. In this study, we aim to model the limit order arrival rates in the vicinity of the best bid and the best ask price…
Asynchronous events on the continuous time domain, e.g., social media actions and stock transactions, occur frequently in the world. The ability to recognize occurrence patterns of event sequences is crucial to predict which typeof events…