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We propose a novel framework for modeling multiple multivariate point processes, each with heterogeneous event types that share an underlying space and obey the same generative mechanism. Focusing on Hawkes processes and their variants that…
We show that univariate and symmetric multivariate Hawkes processes are only weakly causal: the true log-likelihoods of real and reversed event time vectors are almost equal, thus parameter estimation via maximum likelihood only weakly…
The price clustering phenomenon manifesting itself as an increased occurrence of specific prices is widely observed and well-documented for various financial instruments and markets. In the literature, however, it is rarely incorporated…
Crowdfunding is a powerful tool for individuals or organizations seeking financial support from a vast audience. Despite widespread adoption, managers often lack information about dynamics of their platforms. Hawkes processes have been used…
This paper investigates the scaling dependencies between measures of "activity" and of "size" for companies included in the FTSE 100. The "size" of companies is measured by the total market capitalization. The "activity" is measured with…
Multivariate Hawkes processes are past-dependant point processes originally introduced to model excitation effects, later extended to a nonlinear framework to account for the opposite effect, known as inhibition. Motivated by applications…
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…
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.…
The use of intelligent systems for stock market predictions has been widely established. In this paper, we investigate how the seemingly chaotic behavior of stock markets could be well represented using several connectionist paradigms and…
Hawkes (1971) introduced a powerful multivariate point process model of mutually exciting processes to explain causal structure in data. In this paper it is shown that the Granger causality structure of such processes is fully encoded in…
Large tick assets, i.e. assets where one tick movement is a significant fraction of the price and bid-ask spread is almost always equal to one tick, display a dynamics in which price changes and spread are strongly coupled. We introduce a…
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…
We propose the point process model as the Poissonian-like stochastic sequence with slowly diffusing mean rate and adjust the parameters of the model to the empirical data of trading activity for 26 stocks traded on NYSE. The proposed scaled…
Properties of distributions of the number of trades in different intraday time intervals for five stocks traded in MICEX are studied. The dependence of the mean number of trades on the capital turnover is analyzed. Correlation analysis…
This paper presents a stochastic model motivated by the study of a virus-like evolving population with different mutation rates. This is a continuous time birth-death model: the birth processes are mutually-exciting Hawkes processes and the…
The process algebra HYPE was recently proposed as a fine-grained modelling approach for capturing the behaviour of hybrid systems. In the original proposal, each flow or influence affecting a variable is modelled separately and the overall…
Temporal networks observed continuously over time through timestamped relational events data are commonly encountered in application settings including online social media communications, financial transactions, and international relations.…
High-speed computerized trading, often called "high-frequency trading" (HFT), has increased dramatically in financial markets over the last decade. In the US and Europe, it now accounts for nearly one-half of all trades. Although evidence…
Positive feedback trading, which buys when prices rise and sells when prices fall, has long been criticized for being destabilizing as it moves prices away from the fundamentals. Motivated by the relationship between positive feedback…
Empirical data reveals that the liquidity flow into the order book (depositions, cancellations andmarket orders) is influenced by past price changes. In particular, we show that liquidity tends todecrease with the amplitude of past…