相关论文: Estimating Product Cannibalisation in Wholesale us…

This paper is an extension of our work where we presented a three-stage XGBoost algorithm for forecasting sales under product cannibalization scenario. Previously we developed the model based on our intuition and provided empirical evidence…

The multivariate Hawkes process is a past-dependent point process used to model the relationship of event occurrences between different phenomena.Although the Hawkes process was originally introduced to describe excitation effects, which…

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 introduce a multivariate Hawkes process with constraints on its conditional density. It is a multivariate point process with conditional intensity similar to that of a multivariate Hawkes process but certain events are forbidden with…

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…

Hawkes Process has been used to model Limit Order Book (LOB) dynamics in several ways in the literature however the focus has been limited to capturing the inter-event times while the order size is usually assumed to be constant. We propose…

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…

The Hawkes process is a class of point processes whose future depends on their own history. Previous theoretical work on the Hawkes process is limited to a special case in which a past event can only increase the occurrence of future…

Traditionally, Hawkes processes are used to model time--continuous point processes with history dependence. Here we propose an extended model where the self--effects are of both excitatory and inhibitory type and follow a Gaussian Process.…

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…

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…

Hawkes processes have seen a number of applications in finance, due to their ability to capture event clustering behaviour typically observed in financial systems. Given a calibrated Hawkes process, of concern is the statistical fit to…

Many self-exciting systems change because endogenous amplification, as opposed to exogenous forcing, varies. We study a Hawkes process with fixed background rate and kernel, but piecewise time-varying productivity. For exponential kernels…

We consider a multivariate non-linear Hawkes process in a multi-class setup where particles are organised within two populations of possibly different sizes, such that one of the populations acts excitatory on the system while the other…

It is often assumed that events cannot occur simultaneously when modelling data with point processes. This raises a problem as real-world data often contains synchronous observations due to aggregation or rounding, resulting from…

The Hawkes process, a self-exciting point process, has a wide range of applications in modeling earthquakes, social networks and stock markets. The established estimation process requires that researchers have access to the exact time…

Multivariate Hawkes processes are past-dependant point processes originally introduced to model excitation effects, later extended to a nonlinear framework to account for the opposite effect, known as inhibition. Motivated by applications…

The stochastic control problem of optimal market making is among the central problems in quantitative finance. In this paper, a deep reinforcement learning-based controller is trained on a weakly consistent, multivariate Hawkes…

Targeting a better understanding of credit market dynamics, the authors have studied a stochastic model named the Hawkes process. Describing trades arrival times, this kind of model allows for the capture of self-excitement and mutual…

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…