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In a financial market, for agents with long investment horizons or at times of severe market stress, it is often changes in the asset price that act as the trigger for transactions or shifts in investment position. This suggests the use of…
We analyse tick-by-tick data representing major cryptocurrencies traded on some different cryptocurrency trading platforms. We focus on such quantities like the inter-transaction times, the number of transactions in time unit, the traded…
Many events occur in the world. Some event types are stochastically excited or inhibited---in the sense of having their probabilities elevated or decreased---by patterns in the sequence of previous events. Discovering such patterns can help…
Traded corporations are required by law to have a majority of outside directors on their board. This requirement allows the existence of directors who sit on the board of two or more corporations at the same time, generating what is…
We introduce a model for limit order book of a certain security with two main features: First, both the limit orders and market orders for the given asset are allowed to appear and interact with each other. Second, the high frequency…
Financial markets exhibit highly dynamic and complex behaviors shaped by both historical price trajectories and exogenous narratives, such as news, policy interpretations, and social media sentiment. The heterogeneity in these data and the…
Using empirical data from a social media site (Twitter) and on trading volumes of financial securities, we analyze the correlated human activity in massive social organizations. The activity, typically excited by real-world events and…
In this paper we present a continuous time dynamical model of heterogeneous agents interacting in a financial market where transactions are cleared by a market maker. The market is composed of fundamentalist, trend following and contrarian…
We conclude from an analysis of high resolution NYSE data that the distribution of the traded value $f_i$ (or volume) has a finite variance $\sigma_i$ for the very large majority of stocks $i$, and the distribution itself is non-universal…
We consider a multivariate non-linear Hawkes process in a multi-class setup where particles are organised within two populations of possibly different sizes, such that one of the populations acts excitatory on the system while the other…
In complex financial systems, the sector structure and volatility clustering are respectively important features of the spatial and temporal correlations. However, the microscopic generation mechanism of the sector structure is not yet…
This paper suggests that business cycles may be a manifestation of coupled real economy and stock market dynamics and describes a mechanism that can generate economic fluctuations consistent with observed business cycles. To this end, we…
We introduce a multivariate Hawkes process with constraints on its conditional density. It is a multivariate point process with conditional intensity similar to that of a multivariate Hawkes process but certain events are forbidden with…
The dynamics of the equal-time cross-correlation matrix of multivariate financial time series is explored by examination of the eigenvalue spectrum over sliding time windows. Empirical results for the S&P 500 and the Dow Jones Euro Stoxx 50…
Financial markets are a typical example of complex systems where interactions between constituents lead to many remarkable features. Here, we show that a pairwise maximum entropy model (or auto-logistic model) is able to describe switches…
A point process model for order flows in limit order books is proposed, in which the conditional intensity is the product of a Hawkes component and a state-dependent factor. In the LOB context, state observations may include the observed…
Classic estimation methods for Hawkes processes rely on the assumption that observed event times are indeed a realisation of a Hawkes process, without considering any potential perturbation of the model. However, in practice, observations…
An agent-based modelling methodology for the joint price evolution of two stocks is put forward. The method models future multidimensional price trajectories reflecting how a class of agents rebalance their portfolios in an operational way…
Hawkes processes are often applied to model dependence and interaction phenomena in multivariate event data sets, such as neuronal spike trains, social interactions, and financial transactions. In the nonparametric setting, learning the…
Cryptocurrencies have recently experienced a new wave of price volatility and interest; activity within social media communities relating to cryptocurrencies has increased significantly. There is currently limited documented knowledge of…