Related papers: Limit Order Book Dynamics and Order Size Modelling…
We propose an extension to Hawkes processes by treating the levels of self-excitation as a stochastic differential equation. Our new point process allows better approximation in application domains where events and intensities accelerate…
Hawkes Processes have undergone increasing popularity as default tools for modeling self- and mutually exciting interactions of discrete events in continuous-time event streams. A Maximum Likelihood Estimation (MLE) unconstrained…
We present an extended version of the recently proposed "LLOB" model for the dynamics of latent liquidity in financial markets. By allowing for finite cancellation and deposition rates within a continuous reaction-diffusion setup, we…
A quasi-centralized limit order book (QCLOB) is a limit order book (LOB) in which financial institutions can only access the trading opportunities offered by counterparties with whom they possess sufficient bilateral credit. We perform an…
We propose a unified mean-field framework that bridges the dynamics of informal financial markets and formal markets governed by Limit Order Books (LOBs). Both settings are modeled as interacting particle systems on a 1D price lattice, with…
The event sequence of many diverse systems is represented as a sequence of discrete events in a continuous space. Examples of such an event sequence are earthquake aftershock events, financial transactions, e-commerce transactions, social…
The Hawkes process (HP) has been widely applied to modeling self-exciting events including neuron spikes, earthquakes and tweets. To avoid designing parametric triggering kernel and to be able to quantify the prediction confidence, the…
We present a measurement of price impact in order-driven markets that does not require averages across executions or scenarios. Given the order book data associated with one single execution of a sell metaorder, we measure its contribution…
Modelling and forecasting the occurrence of extreme events is especially difficult when the event process is nonstationary, with changes in both the rate at which extremes occur and the magnitude of the extremes when they occur. We approach…
The aim of this paper is to provide a new method for the detection of either favored or avoided distances between genomic events along DNA sequences. These events are modeled by a Hawkes process. The biological problem is actually complex…
One of the key decisions in execution strategies is the choice between a passive (liquidity providing) or an aggressive (liquidity taking) order to execute a trade in a limit order book (LOB). Essential to this choice is the fill…
We investigate whether the bid/ask queue imbalance in a limit order book (LOB) provides significant predictive power for the direction of the next mid-price movement. We consider this question both in the context of a simple binary…
This paper deals with the development of a Reduced-Order Model (ROM) to investigate haemodynamics in cardiovascular applications. It employs the use of Proper Orthogonal Decomposition (POD) for the computation of the basis functions and the…
Event-driven systems in fields such as neuroscience, social networks, and finance often exhibit dynamics influenced by continuously evolving external covariates. Motivated by these applications, we introduce a new class of multivariate…
Event history data from sports competitions have recently drawn increasing attention in sports analytics to generate data-driven strategies. Such data often exhibit self-excitation in the event occurrence and dependence within event…
Modeling event dynamics is central to many disciplines. Patterns in observed event arrival times are commonly modeled using point processes. Such event arrival data often exhibits self-exciting, heterogeneous and sporadic trends, which is…
The Hawkes process has garnered attention in recent years for its suitability to describe the behavior of online information cascades. Here, we present a fully tractable approach to analytically describe the distribution of the number of…
We introduce and study an alternative form of the chaotic expansion for counting processes using the Poisson imbedding representation; we name this alternative form \textit{pseudo-chaotic expansion}. As an application, we prove that the…
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.…
A simple Hawkes model have been developed for the price tick structure dynamics incorporating market microstructure noise and trade clustering. In this paper, the model is extended with random mark to deal with more realistic price tick…