Related papers: A Multivariate Hawkes Process Model for Stablecoin…
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…
This research proposes a model for the intraday variation between the ETHBTC spot and the quotient of ETHUSDT and BTCUSDT traded on Binance. Under conditions of no-arbitrage, perfect accuracy and no microstructure effects, the variation…
We propose a novel approach to marked Hawkes kernel inference which we name the moment-based neural Hawkes estimation method. Hawkes processes are fully characterized by their first and second order statistics through a Fredholm integral…
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…
The mining of bitcoin is modeled using system dynamics, showing that the past evolution of the network hash rate can be explained to a large extent by an efficient market hypothesis applied to the mining of blocks. The possibility of a…
In this paper we propose a deep recurrent architecture for the probabilistic modelling of high-frequency market prices, important for the risk management of automated trading systems. Our proposed architecture incorporates probabilistic…
Hawkes processes are a popular framework to model the occurrence of sequential events, i.e., occurrence dynamics, in several fields such as social diffusion. In real-world scenarios, the inter-arrival time among events is irregular.…
Detection of power-law behavior and studies of scaling exponents uncover the characteristics of complexity in many real world phenomena. The complexity of financial markets has always presented challenging issues and provided interesting…
The blockchain paradigm provides a mechanism for content dissemination and distributed consensus on Peer-to-Peer (P2P) networks. While this paradigm has been widely adopted in industry, it has not been carefully analyzed in terms of its…
Few assets in financial history have been as notoriously volatile as cryptocurrencies. While the long term outlook for this asset class remains unclear, we are successful in making short term price predictions for several major crypto…
This paper is concerned with nonlinear filtering of the coefficients in asset price models with stochastic volatility. More specifically, we assume that the asset price process $S=(S_{t})_{t\geq0}$ is given by \[ dS_{t}=m(\theta_{t})S_{t}…
Cryptocurrencies, especially Bitcoin (BTC), which comprise a new digital asset class, have drawn extraordinary worldwide attention. The characteristics of the cryptocurrency/BTC include a high level of speculation, extreme volatility and…
The Hawkes process is a model for counting the number of arrivals to a system which exhibits the self-exciting property - that one arrival creates a heightened chance of further arrivals in the near future. The model, and its…
In this paper we devise a statistical method for tracking and modeling change-points on the dependence structure of multivariate extremes. The methods are motivated by and illustrated on a case study on crypto-assets.
We consider a tick-by-tick model of price formation, in which buy and sell orders are modeled as self-exciting point processes (Hawkes process), similar to the one in [Bacry, Delattre, Hoffmann, Muzy, Modelling microstructure noise with…
The global financial system stands at an inflection point. Stablecoins represent the most significant evolution in banking since the abandonment of the gold standard, positioned to enable "Banking 2.0" by seamlessly integrating…
This paper proposes a new approach for change point detection in multivariate Hawkes processes using Fr\'echet statistic of a network. The method splits the point process into overlapping windows, estimates kernel matrices in each window,…
Although Bitcoin has long been dominant in the crypto scene, it is certainly not alone. Ether is another cryptocurrency related project that has attracted an intensive attention because of its additional features. This study seeks to test…
Hawkes processes were first introduced to obtain microscopic models for the rough volatility observed in asset prices. Scaling limits of such processes leads to the rough-Heston model that describes the macroscopic behavior. Blanc et al.…
An extension of the Hawkes process, the Marked Hawkes process distinguishes itself by featuring variable jump size across each event, in contrast to the constant jump size observed in a Hawkes process without marks. While extensive…