Related papers: An algorithm for the computation of joint Hawkes m…
In this paper we introduce a new model named CARMA(p,q)-Hawkes process as the Hawkes model with exponential kernel implies a strictly decreasing behaviour of the autocorrelation function and empirically evidences reject the monotonicity…
We define a numerical method that provides a non-parametric estimation of the kernel shape in symmetric multivariate Hawkes processes. This method relies on second order statistical properties of Hawkes processes that relate the covariance…
We introduce a method for calculating individual elements of matrix functions. Our technique makes use of a novel series expansion for the action of matrix functions on basis vectors that is memory efficient even for very large matrices. We…
The time integration of semilinear parabolic problems by exponential methods of different kinds is considered. A new algorithm for the implementation of these methods is proposed. The algorithm evaluates the operators required by the…
Among the available perturbative approaches in quantum field theory, heat kernel techniques provide a powerful and geometrically transparent framework for computing effective actions in nontrivial backgrounds. In this work, resummation…
In $\mathbb R^d$, it is well-known that cumulants provide an alternative to moments that can achieve the same goals with numerous benefits such as lower variance estimators. In this paper we extend cumulants to reproducing kernel Hilbert…
In this work, we consider a rational approximation of the exponential function to design an algorithm for computing matrix exponential in the Hermitian case. Using partial fraction decomposition, we obtain a parallelizable method, where the…
Incremental computation aims to compute more efficiently on changed input by reusing previously computed results. We give a high-level overview of works on incremental computation, and highlight the essence underlying all of them, which we…
Quadratic Hawkes (QHawkes) processes have proved effective at reproducing the statistics of price changes, capturing many of the stylised facts of financial markets. Motivated by the recently reported strong occurrence of endogenous…
We develop fixed-point algorithms for the approximation of structured matrices with rank penalties. In particular we use these fixed-point algorithms for making approximations by sums of exponentials, or frequency estimation. For the basic…
Hawkes processes are a self-exciting stochastic process used to describe phenomena whereby past events increase the probability of the occurrence of future events. This work presents a flexible approach for modelling a variant of these,…
In a number of problems in computational physics, a finite sum of kernel functions centered at $N$ particle locations located in a box in three dimensions must be extended by imposing periodic boundary conditions on box boundaries. Even…
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…
Recently proposed encoder-decoder structures for modeling Hawkes processes use transformer-inspired architectures, which encode the history of events via embeddings and self-attention mechanisms. These models deliver better prediction and…
We introduce a general procedure for computing higher-order moments of correlation functions in open quantum systems, extending the scope of our recent work on Memory Kernel Coupling Theory (MKCT) [W. Liu, Y. Su, Y. Wang, and W. Dou,…
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…
The Hawkes process (HP) is commonly used to model event sequences with self-reinforcing dynamics, including electronic health records (EHRs). Traditional HPs capture self-reinforcement via parametric impact functions that can be inspected…
Kernel methods play an important role in machine learning applications due to their conceptual simplicity and superior performance on numerous machine learning tasks. Expressivity of a machine learning model, referring to the ability of the…
We consider fast kernel summations in high dimensions: given a large set of points in $d$ dimensions (with $d \gg 3$) and a pair-potential function (the {\em kernel} function), we compute a weighted sum of all pairwise kernel interactions…
We propose an effective method to solve the event sequence clustering problems based on a novel Dirichlet mixture model of a special but significant type of point processes --- Hawkes process. In this model, each event sequence belonging to…