相关论文: Hawkes Processes

We show that the jumps correlation matrix of a multivariate Hawkes process is related to the Hawkes kernel matrix through a system of Wiener-Hopf integral equations. A Wiener-Hopf argument allows one to prove that this system (in which the…

This article presents a Hawkes process model with Markovian baseline intensities for high-frequency order book data modeling. We classify intraday order book trading events into a range of categories based on their order types and the price…

In the last decade Hawkes processes have received much attention as models for functional connectivity in neural spiking networks and other dynamical systems with a cascade behavior. In this paper we establish a renewal approach for…

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…

We propose a simulation method for multidimensional Hawkes processes based on superposition theory of point processes. This formulation allows us to design efficient simulations for Hawkes processes with differing exponentially decaying…

This study explores contagion in the Chinese stock market using Hawkes processes to analyze autocorrelation and cross-correlation in multivariate time series data. We examine whether market indices exhibit trending behavior and whether…

Hawkes process (HP) is a point process with a conditionally dependent intensity function. This paper defines the tempered fractional Hawkes process (TFHP) by time-changing the HP with an inverse tempered stable subordinator. We obtained…

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…

Many fits of Hawkes processes to financial data look rather good but most of them are not statistically significant. This raises the question of what part of market dynamics this model is able to account for exactly. We document the…

Abstract. Most of the real world data we encounter are asynchronous event sequence, so the last decades have been characterized by the implementation of various point process into the field of social networks,electronic medical records and…

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…

Foundational marked temporal point process (MTPP) models, such as the Hawkes process, often use inexpressive model families in order to offer interpretable parameterizations of event data. On the other hand, neural MTPPs models forego this…

We introduce a Markovian single point process model, with random intensity regulated through a buffer mechanism and a self-exciting effect controlling the arrival stream to the buffer. The model applies the principle of the Hawkes process…

The process algebra HYPE was recently proposed as a fine-grained modelling approach for capturing the behaviour of hybrid systems. In the original proposal, each flow or influence affecting a variable is modelled separately and the overall…

High frequency financial data is burdened by a level of randomness that is unavoidable and obfuscates the task of modelling. This idea is reflected in the intraday evolution of limit orders book data for many financial assets and suggests…

In this paper, we study a class of self-exciting point processes. The intensity of the point process has a nonlinear dependence on the past history and time. When a new jump occurs, the intensity increases and we expect more jumps to come.…

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,…

We introduce a class of hybrid marked point processes, which encompasses and extends continuous-time Markov chains and Hawkes processes. While this flexible class amalgamates such existing processes, it also contains novel processes with…

Multi-dimensional Hawkes process (MHP) is a class of self and mutually exciting point processes that find wide range of applications -- from prediction of earthquakes to modelling of order books in high frequency trading. This paper makes…

Crowdfunding is a powerful tool for individuals or organizations seeking financial support from a vast audience. Despite widespread adoption, managers often lack information about dynamics of their platforms. Hawkes processes have been used…