Related papers: Simulation thinning algorithm for a CARMA(p,q)-Haw…
We describe an improved version of the quantum simulation method based on the implementation of a truncated Taylor series of the evolution operator. The idea is to add an extra step to the previously known algorithm which implements an…
In this paper we consider point processes specified on directed linear networks, i.e. linear networks with associated directions. We adapt the so-called conditional intensity function used for specifying point processes on the time line to…
The rapid growth of social media has been witnessed during recent years as a result of the prevalence of the internet. This trend brings an increasing interest in simulating social media which can provide valuable insights to both academic…
We propose a method for efficient simulations in extended ensembles, useful, e.g., for the study of problems with complex energy landscapes and for free energy calculations. The main difficulty in such simulations is the estimation of the a…
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…
A point process for event arrivals in high frequency trading is presented. The intensity is the product of a Hawkes process and high dimensional functions of covariates derived from the order book. Conditions for stationarity of the process…
This study examines the use of a recurrent neural network for estimating the parameters of a Hawkes model based on high-frequency financial data, and subsequently, for computing volatility. Neural networks have shown promising results in…
The phase estimation algorithm is a powerful quantum algorithm with applications in cryptography, number theory, and simulation of quantum systems. We use this algorithm to simulate the time evolution of a system of two spin-1/2 particles…
This paper investigates the asymptotic behavior of suitably time-modulated Hawkes processes with heavy-tailed kernels in a nearly unstable regime. We show that, under appropriate scaling, both the intensity processes and the rescaled Hawkes…
We introduce a method that ensures efficient computation of one-dimensional quantum systems with long-range interactions across all temperatures. Our algorithm operates within a quasi-polynomial runtime for inverse temperatures up to…
A computer simulation has to be fast to be helpful, if it is employed to study the behavior of a multicomponent dynamic system. This paper discusses modeling concepts and algorithmic techniques useful for creating such fast simulations.…
The purpose of this paper is to present a recursive algorithm and its implementation in Maple and Mathematica for the computation of joint moments and cumulants of Hawkes processes with exponential kernels. Numerical results and computation…
When the sample path of a Hawkes process is observed discretely, such that only the total event counts in disjoint time intervals are known, the likelihood function becomes intractable. To overcome the challenge of likelihood-based…
Multivariate Hawkes Processes (MHPs) are a class of point processes that can account for complex temporal dynamics among event sequences. In this work, we study the accuracy and computational efficiency of three classes of algorithms which,…
Trawl processes are continuous-time, stationary and infinitely divisible processes which can describe a wide range of possible serial correlation patterns in data. In this paper, we introduce new simulation algorithms for trawl processes…
We describe an efficient numerical method for simulating the dynamics of interacting spin ensembles in the presence of dephasing and decay. The method builds on the discrete truncated Wigner approximation for isolated systems, which…
Particle dynamics and multi-agent systems provide accurate dynamical models for studying and forecasting the behavior of complex interacting systems. They often take the form of a high-dimensional system of differential equations…
The Hawkes process is a popular point process model for event sequences that exhibit temporal clustering. The intensity process of a Hawkes process consists of two components, the baseline intensity and the accumulated excitation effect due…
In this paper, we establish a large deviations principle for a multivariate compound process induced by a multivariate Hawkes process with random marks. Our proof hinges on showing essential smoothness of the limiting cumulant of the…
We introduce the Hyperedge-triggered Hawkes (HTH) process for inferring higher-order interaction structure in multi-cellular systems from asynchronous event-time data. Beyond standard pairwise excitation, the HTH intensity includes a term…