相关论文: Limit theorems for a discrete-time Hawkes process

This paper develops a theoretical mesoscopic model of the limit order book driven by multivariate Hawkes processes, designed to capture temporal self-excitation and the spatial propagation of order flow across price levels. In contrast 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…

In this paper we develop the first perfect sampling algorithm for queues with Hawkes input, i.e. single-server queues with Hawkes arrivals and i.i.d. service times of general distribution. In addition to the stability condition, we also…

Multivariate point processes are widely applied to model event-type data such as natural disasters, online message exchanges, financial transactions or neuronal spike trains. One very popular point process model in which the probability of…

Reading is a process that unfolds across space and time, alternating between fixations where a reader focuses on a specific point in space, and saccades where a reader rapidly shifts their focus to a new point. An ansatz of…

Interval-censored data solely records the aggregated counts of events during specific time intervals - such as the number of patients admitted to the hospital or the volume of vehicles passing traffic loop detectors - and not the exact…

We propose a novel class of network models for temporal dyadic interaction data. Our goal is to capture a number of important features often observed in social interactions: sparsity, degree heterogeneity, community structure and…

Hawkes processes have recently risen to the forefront of tools when it comes to modeling and generating sequential events data. Multidimensional Hawkes processes model both the self and cross-excitation between different types of events and…

The discrete-time Hawkes process (DTHP) is a sub-class of $g$-functions that serves as a discrete-time version of the continuous-time Hawkes process (CTHP). Like the CTHP, the DTHP also has the self-exciting property and its intensity…

We determine the large size limit of a network of interacting Hawkes Processes on an adaptive network. The flipping of the node variables is taken to have an intensity given by the mean-field of the afferent edges and nodes. The flipping of…

The extent to which a matching engine can cloud the modelling of underlying order submission and management processes in a financial market remains an unanswered concern with regards to market models. Here we consider a 10-variate Hawkes…

We study by computer simulation the "Hawkes process" that was proposed in a recent paper by Crane and Sornette (Proc. Nat. Acad. Sci. USA 105, 15649 (2008)) as a plausible model for the dynamics of YouTube video viewing numbers. We test the…

We give a general Gaussian bound for the first chaos (or innovation) of point processes with stochastic intensity constructed by embedding in a bivariate Poisson process. We apply the general result to nonlinear Hawkes processes, providing…

We propose a novel modeling framework for time-evolving networks allowing for long-term dependence in network features that update in continuous time. Dynamic network growth is functionally parameterized via the conditional intensity of a…

The neural Hawkes process (Mei & Eisner, 2017) is a generative model of irregularly spaced sequences of discrete events. To handle complex domains with many event types, Mei et al. (2020a) further consider a setting in which each event in…

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…

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…

The bifurcation theory of ordinary differential equations (ODEs), and its application to deterministic population models, are by now well established. In this article, we begin to develop a complementary theory for diffusion-like…

We introduce and show the existence of a Hawkes self-exciting point process with exponentially-decreasing kernel and where parameters are time-varying. The quantity of interest is defined as the integrated parameter…

As a tool for capturing irregular temporal dependencies (rather than resorting to binning temporal observations to construct time series), Hawkes processes with exponential decay have seen widespread adoption across many application…