English
Related papers

Related papers: An algorithm for the computation of joint Hawkes m…

200 papers

We propose a recursive method for the computation of the cumulants of self-exciting point processes of Hawkes type, based on standard combinatorial tools such as Bell polynomials. This closed-form approach is easier to implement on…

Probability · Mathematics 2020-12-15 Nicolas Privault

Hawkes processes have seen a number of applications in finance, due to their ability to capture event clustering behaviour typically observed in financial systems. Given a calibrated Hawkes process, of concern is the statistical fit to…

Trading and Market Microstructure · Quantitative Finance 2016-04-18 Roger Martins , Dieter Hendricks

We provide probabilistic and computational results on Markovian multivariate Hawkes processes and induced population processes. By applying the Markov property, we characterize in closed form a joint transform, bijective to the probability…

Probability · Mathematics 2025-08-08 R. S. Karim , R. J. A. Laeven , M , M. Mandjes

We design a new nonparametric method that allows one to estimate the matrix of integrated kernels of a multivariate Hawkes process. This matrix not only encodes the mutual influences of each nodes of the process, but also disentangles the…

Machine Learning · Statistics 2017-05-31 Massil Achab , Emmanuel Bacry , Stéphane Gaïffas , Iacopo Mastromatteo , Jean-Francois Muzy

We characterize a Hawkes point process with kernel proportional to the probability density function of Mittag-Leffler random variables. This kernel decays as a power law with exponent $\beta +1 \in (1,2]$. Several analytical results can be…

Hawkes Processes capture self-excitation and mutual-excitation between events when the arrival of an event makes future events more likely to happen. Identification of such temporal covariance can reveal the underlying structure to better…

Machine Learning · Computer Science 2020-06-03 Rafael Lima , Jaesik Choi

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…

Machine Learning · Computer Science 2026-05-07 Ahmer Raza , Hudson Smith

We derive explicit, closed-form expressions for the cumulant densities of a multivariate, self-exciting Hawkes point process, generalizing a result of Hawkes in his earlier work on the covariance density and Bartlett spectrum of such…

Statistics Theory · Mathematics 2016-08-08 Stojan Jovanović , John Hertz , Stefan Rotter

Many modern spatio-temporal data sets, in sociology, epidemiology or seismology, for example, exhibit self-exciting characteristics, triggering and clustering behaviors both at the same time, that a suitable Hawkes space-time process can…

Machine Learning · Statistics 2024-06-18 Emilia Siviero , Guillaume Staerman , Stephan Clémençon , Thomas Moreau

We propose a simulation method for multidimensional Hawkes processes based on superposition theory of point processes. This formulation allows us to design efficient simulations for Hawkes processes with differing exponentially decaying…

Machine Learning · Statistics 2018-03-14 Kar Wai Lim , Young Lee , Leif Hanlen , Hongbiao Zhao

We introduce a novel and efficient simulation scheme for Hawkes processes on a fixed time grid, leveraging their affine Volterra structure. The key idea is to first simulate the integrated intensity and the counting process using Inverse…

Probability · Mathematics 2025-11-18 Eduardo Abi Jaber , Elie Attal , Dimitri Sotnikov

This paper discusses an efficient implementation of the generation of order conditions for the construction of exponential integrators like exponential splitting and Magnus-type methods in the computer algebra system Maple. At the core of…

Numerical Analysis · Mathematics 2019-12-04 Harald Hofstätter , Winfried Auzinger , Othmar Koch

This paper presents an algorithm for the simulation of Hawkes-type processes where the intensity is expressed in terms of a continuous-time autoregressive moving average model. We identify upper bounds for both the univariate and the…

Computation · Statistics 2025-06-10 Lorenzo Mercuri , Andrea Perchiazzo , Edit Rroji

In this paper, we propose an extension of the Hawkes process by incorporating a kernel based on the tempered Mittag-Leffler distribution. This is the generalization of the work presented in [10]. We derive analytical results for the…

Probability · Mathematics 2024-08-22 Neha Gupta , Aditya Maheshwari

Counting distinct permutations with replacement, especially when involving multiple subwords, is a longstanding challenge in combinatorial analysis, with critical applications in cryptography, bioinformatics, and statistical modeling. This…

Cryptography and Security · Computer Science 2024-11-27 Martin Mathew , Javier Noda

Temporal point processes (TPP) are a natural tool for modeling event-based data. Among all TPP models, Hawkes processes have proven to be the most widely used, mainly due to their adequate modeling for various applications, particularly…

Machine Learning · Statistics 2023-08-03 Guillaume Staerman , Cédric Allain , Alexandre Gramfort , Thomas Moreau

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…

Mathematical Finance · Quantitative Finance 2025-03-20 Neal Batra

We prove exponential moments for linear combinations of the number of individuals of each type of a whole multitype Poissonian Galton Watson process. We give sharp estimates for such quantities, which depend on the expectation of the…

Probability · Mathematics 2025-07-14 Théo Leblanc

The Hawks process is a point process with a self-exciting property. It has been used to model earthquakes, social media events, infections, etc., and is getting a lot of attention. However, as a real problem, there are often situations…

Statistics Theory · Mathematics 2021-07-30 Masatoshi Goda

The stationarity is assumed in vanilla Hawkes process, which reduces the model complexity but introduces a strong assumption. In this paper, we propose a fast multi-resolution segmentation algorithm to capture the time-varying…

Applications · Statistics 2019-06-07 Feng Zhou , Zhidong Li , Xuhui Fan , Yang Wang , Arcot Sowmya , Fang Chen
‹ Prev 1 2 3 10 Next ›