Related papers: A sparsity test for multivariate Hawkes processes
Group-based social dominance hierarchies are of essential interest in animal behavior research. Studies often record aggressive interactions observed over time, and models that can capture such dynamic hierarchy are therefore crucial.…
This paper proposes a model of interactions between two point processes, ruled by a reproduction function h, which is considered as the intensity of a Poisson process. In particular, we focus on the context of neurosciences to detect…
Quadratic Hawkes (QHawkes) processes have proved effective at reproducing the statistics of price changes, capturing many of the stylised facts of financial markets. Motivated by the recently reported strong occurrence of endogenous…
An extension of the Hawkes model where the productivity is variable is considered. In particular, the case is considered where each point may have its own productivity and a simple analytic formula is derived for the maximum likelihood…
Human behavior drives a range of complex social, urban, and economic systems, yet understanding its structure and dynamics at the individual level remains an open question. From credit card transactions to communications data, human…
We introduce a multivariate Hawkes process that accounts for the dynamics of market prices through the impact of market order arrivals at microstructural level. Our model is a point process mainly characterized by 4 kernels associated with…
Networks and temporal point processes serve as fundamental building blocks for modeling complex dynamic relational data in various domains. We propose the latent space Hawkes (LSH) model, a novel generative model for continuous-time…
Multivariate matched proportions (MMP) data appears in a variety of contexts including post-market surveillance of adverse events in pharmaceuticals, disease classification, and agreement between care providers. It consists of multiple sets…
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…
We study the problem of multiple hypothesis testing for multidimensional data when inter-correlations are present. The problem of multiple comparisons is common in many applications. When the data is multivariate and correlated, existing…
Time series datasets often contain heterogeneous signals, composed of both continuously changing quantities and discretely occurring events. The coupling between these measurements may provide insights into key underlying mechanisms of the…
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…
The self-exciting Hawkes process is widely used to model events which occur in bursts. However, many real world data sets contain missing events and/or noisily observed event times, which we refer to as data distortion. The presence of such…
Asynchronous events on the continuous time domain, e.g., social media actions and stock transactions, occur frequently in the world. The ability to recognize occurrence patterns of event sequences is crucial to predict which typeof events…
The order flow in high-frequency financial markets has been of particular research interest in recent years, as it provides insights into trading and order execution strategies and leads to better understanding of the supply-demand…
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…
Self-exciting processes of Hawkes type have been used to model various phenomena including earthquakes, neural activities, and views of online videos. Studies of temporal networks have revealed that sequences of social interevent times for…
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…
This study proposes a versatile model for the dynamics of the best bid and ask prices using an extended Hawkes process. The model incorporates the zero intensities of the spread-narrowing processes at the minimum bid-ask spread,…
Existence and stability properties are studied for Hawkes process, i.e. point process $S$ that has long-memory and intensity $r(t)=\lambda \big(g_0(t)+ \sum_{\tau<t, \tau \in S} h(t-\tau) \big)$. The approach to Hawkes process presented in…