相关论文: Non-parametric Estimation of Quadratic Hawkes Proc…

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…

We propose novel quadratic performance tests for linear discrete-time impulsive systems based on viewing these systems as feedback interconnections of some non-impulsive linear system with an impulsive operator. In order to systematically…

Power corrections to hadronic event shapes are estimated using a recently suggested relationship between perturbative and non-perturbative effects in QCD. The infrared cutoff dependence of perturbative calculations is related to…

We study the price impact of order book events - limit orders, market orders and cancelations - using the NYSE TAQ data for 50 U.S. stocks. We show that, over short time intervals, price changes are mainly driven by the order flow…

This paper introduces the Neural Network for Nonlinear Hawkes processes (NNNH), a non-parametric method based on neural networks to fit nonlinear Hawkes processes. Our method is suitable for analyzing large datasets in which events exhibit…

Existing spatio-temporal Hawkes process models typically rely on either parametric or semiparametric assumptions, limiting the model's ability to capture complex endogenous and exogenous event dynamics. We propose a fully Bayesian…

Point processes are widely used statistical models for continuous-time discrete event data, such as medical records, crime reports, and social network interactions, to capture the influence of historical events on future occurrences. In…

Effective and efficient forecasting relies on identification of the relevant information contained in past observations -- the predictive features -- and isolating it from the rest. When the future of a process bears a strong dependence on…

Price changes are induced by aggressive market orders in stock market. We introduce a bivariate marked Hawkes process to model aggressive market order arrivals at the microstructural level. The order arrival intensity is marked by an…

The Hawkes process is a simple point process that has long memory, clustering effect, self-exciting property and is in general non-Markovian. The future evolution of a self-exciting point process is influenced by the timing of the past…

The quadratic adaptive integrate-and-fire model (Izhikecih 2003, 2007) is recognized as very interesting for its computational efficiency and its ability to reproduce many behaviors observed in cortical neurons. For this reason it is…

Event data consisting of time of occurrence of the events arises in several real-world applications. Recent works have introduced neural network based point processes for modeling event-times, and were shown to provide state-of-the-art…

Hawkes processes are a class of point processes that have the ability to model the self- and mutual-exciting phenomena. Although the classic Hawkes processes cover a wide range of applications, their expressive ability is limited due to…

We characterize a Hawkes point process with kernel proportional to the probability density function of Mittag-Leffler random variables. This kernel decays as a power law with exponent $\beta +1 \in (1,2]$. Several analytical results can be…

In this paper, we develop an efficient nonparametric Bayesian estimation of the kernel function of Hawkes processes. The non-parametric Bayesian approach is important because it provides flexible Hawkes kernels and quantifies their…

Temporal point processes (TPP) are a natural tool for modeling event-based data. Among all TPP models, Hawkes processes have proven to be the most widely used, mainly due to their adequate modeling for various applications, particularly…

We study statistical aspects of state-dependent Hawkes processes, which are an extension of Hawkes processes where a self- and cross-exciting counting process and a state process are fully coupled, interacting with each other. The…

Through the analysis of a dataset of ultra high frequency order book updates, we introduce a model which accommodates the empirical properties of the full order book together with the stylized facts of lower frequency financial data. To do…

The Hawkes model is suitable for describing self and mutually exciting random events. In addition, the exponential decay in the Hawkes process allows us to calculate the moment properties in the model. However, due to the complexity of the…

Univariate marked Hawkes processes are used to model a range of real-world phenomena including earthquake aftershock sequences, contagious disease spread, content diffusion on social media platforms, and order book dynamics. This paper…