Related papers: Modelling Equity Transaction Networks as Bursty Pr…
A Hawkes process model with a time-varying background rate is developed for analyzing the high-frequency financial data. In our model, the logarithm of the background rate is modeled by a linear model with a relatively large number of…
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.…
We consider the problem of learning the network of mutual excitations (i.e., the dependency graph) in a non-stationary, multivariate Hawkes process. We consider a general setting where baseline rates at each node are time-varying and delay…
We present a stability study of the class of multivariate self-excited Hawkes point processes, that can model natural and social systems, including earthquakes, epileptic seizures and the dynamics of neuron assemblies, bursts of exchanges…
The emergence of cooperative behavior, despite natural selection favoring rational self-interest, presents a significant evolutionary puzzle. Evolutionary game theory elucidates why cooperative behavior can be advantageous for survival.…
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…
To identify emerging interdependencies between traded stocks we investigate the behavior of the stocks of FTSE 100 companies in the period 2000-2015, by looking at daily stock values. Exploiting the power of information theoretical measures…
Trade prices of about 1000 New York Stock Exchange-listed stocks are studied at one-minute time resolution over the continuous five year period 2018--2022. For each stock, in dollar-volume-weighted transaction time, the discrepancy from a…
In financial markets, not only prices and returns can be considered as random variables, but also the waiting time between two transactions varies randomly. In the following, we analyse the statistical properties of General Electric stock…
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…
The time proximity of trades across stocks reveals interesting topological structures of the equity market in the United States. In this article, we investigate how such concurrent cross-stock trading behaviors, which we denote as…
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…
In this work, we study the event occurrences of individuals interacting in a network. To characterize the dynamic interactions among the individuals, we propose a group network Hawkes process (GNHP) model whose network structure is observed…
An important challenge in several disciplines is to understand how sudden changes can propagate among coupled systems. Examples include the synchronization of business cycles, population collapse in patchy ecosystems, markets shifting to a…
Using microscopic price models based on Hawkes processes, it has been shown that under some no-arbitrage condition, the high degree of endogeneity of markets together with the phenomenon of metaorders splitting generate rough Heston-type…
Pricing derivatives goes back to the acclaimed Black and Scholes model. However, such a modeling approach is known not to be able to reproduce some of the financial stylized facts, including the dynamics of volatility. In the mathematical…
We develop a new family of marked point processes by focusing the characteristic properties of marked Hawkes processes exclusively to the space of marks, providing the freedom to specify a different model for the occurrence times. This is…
Price changes are induced by aggressive market orders in stock market. We introduce a bivariate marked Hawkes process to model aggressive market order arrivals at the microstructural level. The order arrival intensity is marked by an…
We study the activity, i.e., the number of transactions per unit time, of financial markets. Using the diffusion entropy technique we show that the autocorrelation of the activity is caused by the presence of peaks whose time distances are…
Both Hawkes processes and autoregressive processes rely on linear functionals of their past, while modeling different types of data. Since datasets arising from observations of the same phenomenon may be heterogeneous and sampled at…