Related papers: Order Book Queue Hawkes-Markovian Modeling
Event occurrence is not only subject to the environmental changes, but is also facilitated by the events that have occurred in a system. Here, we develop a method for estimating such extrinsic and intrinsic factors from a single series of…
The primary objective of this paper is to conceive and develop a new methodology to detect notable changes in liquidity within an order-driven market. We study a market liquidity model which allows us to dynamically quantify the level of…
It is often assumed that events cannot occur simultaneously when modelling data with point processes. This raises a problem as real-world data often contains synchronous observations due to aggregation or rounding, resulting from…
This paper presents a method for forecasting limit order book durations using a self-exciting flexible residual point process. High-frequency events in modern exchanges exhibit heavy-tailed interarrival times, posing a significant challenge…
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.…
We consider a multivariate non-linear Hawkes process in a multi-class setup where particles are organised within two populations of possibly different sizes, such that one of the populations acts excitatory on the system while the other…
Existing spatio-temporal Hawkes process models typically rely on either parametric or semiparametric assumptions, limiting the model's ability to capture complex endogenous and exogenous event dynamics. We propose a fully Bayesian…
Animal acoustic communication often exhibits temporal dependence, with calls triggering or suppressing subsequent calls within and across call types, individuals, or species. While Hawkes processes provide a natural framework for modeling…
While the long-ranged correlation of market orders and their impact on prices has been relatively well studied in the literature, the corresponding studies of limit orders and cancellations are scarce. We provide here an empirical study of…
We consider hyperbolic partial differential equations (PDEs) for a dynamic description of the traffic behavior in road networks. These equations are coupled to a Hawkes process that models traffic accidents taking into account their…
This paper is devoted to the study of the number of customers in infinite-server systems driven by Hawkes processes. In these systems, the self-exciting arrival process is assumed to be represented by a Hawkes process and the self-exciting…
We study the price impact of order book events - limit orders, market orders and cancelations - using the NYSE TAQ data for 50 U.S. stocks. We show that, over short time intervals, price changes are mainly driven by the order flow…
Limit order book (LOB) is a dynamic, event-driven system that records real-time market demand and supply for a financial asset in a stream flow. Event stream prediction in LOB refers to forecasting both the timing and the type of events.…
Student procrastination and cramming for deadlines are major challenges in online learning environments, with negative educational and well-being side effects. Modeling student activities in continuous time and predicting their next study…
Equity auctions display several distinctive characteristics in contrast to continuous trading. As the auction time approaches, the rate of events accelerates causing a substantial liquidity buildup around the indicative price. This, in…
Learning the causal-interaction network of multivariate Hawkes processes is a useful task in many applications. Maximum-likelihood estimation is the most common approach to solve the problem in the presence of long observation sequences.…
A key difficulty that arises from real event data is imprecision in the recording of event time-stamps. In many cases, retaining event times with a high precision is expensive due to the sheer volume of activity. Combined with practical…
We consider the learning of multi-agent Hawkes processes, a model containing multiple Hawkes processes with shared endogenous impact functions and different exogenous intensities. In the framework of stochastic maximum likelihood…
We present a careful analysis of possible issues on the application of the self-excited Hawkes process to high-frequency financial data. We carefully analyze a set of effects leading to significant biases in the estimation of the…
We present a graphical and dynamic framework for binding and execution of business) process models. It is tailored to integrate 1) ad hoc processes modeled graphically, 2) third party services discovered in the (Inter)net, and 3)…