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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…

交易与市场微观结构 · 定量金融 2016-04-18 Roger Martins , Dieter Hendricks

We briefly review and highlight the consequences of rigorous and exact results obtained in \cite{cessac:10}, characterizing the statistics of spike trains in a network of leaky Integrate-and-Fire neurons, where time is discrete and where…

适应与自组织系统 · 物理学 2010-08-31 Bruno Cessac , Hassan Nasser , Juan-Carlos Vasquez

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…

统计方法学 · 统计学 2026-05-12 Sacha Quayle , Anna Bonnet , Maxime Sangnier

By means of the concepts of factorial moment, return map and NM estimator, we analyze some responses of a HH neuron to various types of spike-train inputs. The corresponding fractal dimensions and values of NM estimators can describe the…

无序系统与神经网络 · 物理学 2007-05-23 Huijie Yang , Fangcui Zhao , Yizhong Zhuo , Xizhen Wu , Zhuxia Li

Hawkes processes are a self-exciting stochastic process used to describe phenomena whereby past events increase the probability of the occurrence of future events. This work presents a flexible approach for modelling a variant of these,…

统计方法学 · 统计学 2022-08-08 Raiha Browning , Judith Rousseau , Kerrie Mengersen

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…

统计方法学 · 统计学 2021-08-30 Leigh Shlomovich , Edward A. K. Cohen , Niall Adams

We consider a nonlinear multivariate Hawkes process having a variable length memory which allows to describe the activity of a neuronal network by its membrane potential. We propose a graphical construction of the process and we construct,…

概率论 · 数学 2022-09-20 Branda Goncalves , Paul Gresland

We propose a method, based on persistent homology, to uncover topological properties of a priori unknown covariates of neuron activity. Our input data consist of spike train measurements of a set of neurons of interest, a candidate list of…

神经元与认知 · 定量生物学 2015-10-23 Gard Spreemann , Benjamin Dunn , Magnus Bakke Botnan , Nils A. Baas

This article contains two main theoretical results on neural spike train models. The first assumes that the spike train is modeled as a counting or point process on the real line where the conditional intensity function is a product of a…

统计理论 · 数学 2007-06-13 Hock Peng Chan , Wei-Liem Loh

We investigate the effect of electric synapses (gap junctions) on collective neuronal dynamics and spike statistics in a conductance-based Integrate-and-Fire neural network, driven by a Brownian noise, where conductances depend upon spike…

生物物理 · 物理学 2017-07-26 Rodrigo Cofré , Bruno Cessac

We provide some theoretical extensions and a calibration protocol for our former dynamic optimal execution model. The Hawkes parameters and the propagator are estimated independently on financial data from stocks of the CAC40.…

交易与市场微观结构 · 定量金融 2015-06-30 Aurélien Alfonsi , Pierre Blanc

Recently proposed encoder-decoder structures for modeling Hawkes processes use transformer-inspired architectures, which encode the history of events via embeddings and self-attention mechanisms. These models deliver better prediction and…

机器学习 · 计算机科学 2022-02-07 Yamac Alican Isik , Connor Davis , Paidamoyo Chapfuwa , Ricardo Henao

The random walk is a fundamental stochastic process that underlies many numerical tasks in scientific computing applications. We consider here two neural algorithms that can be used to efficiently implement random walks on spiking…

神经与进化计算 · 计算机科学 2018-05-03 William Severa , Rich Lehoucq , Ojas Parekh , James B. Aimone

Simultaneous recordings from many neurons hide important information and the connections characterizing the network remain generally undiscovered despite the progresses of statistical and machine learning techniques. Discerning the presence…

应用统计 · 统计学 2019-03-21 Pietro Verzelli , Laura Sacerdote

We present a hidden Markov model that describes variation in an animal's position associated with varying levels of activity in action potential spike trains of individual place cell neurons. The model incorporates a coarse-graining of…

应用统计 · 统计学 2014-12-22 Marc Box , Matt W. Jones , Nick Whiteley

Fitting network models to neural activity is an important tool in neuroscience. A popular approach is to model a brain area with a probabilistic recurrent spiking network whose parameters maximize the likelihood of the recorded activity.…

机器学习 · 统计学 2021-11-16 Guillaume Bellec , Shuqi Wang , Alireza Modirshanechi , Johanni Brea , Wulfram Gerstner

Multivariate Hawkes processes are commonly used to model streaming networked event data in a wide variety of applications. However, it remains a challenge to extract reliable inference from complex datasets with uncertainty quantification.…

机器学习 · 统计学 2020-10-29 Haoyun Wang , Liyan Xie , Alex Cuozzo , Simon Mak , Yao Xie

The highly variable dynamics of neocortical circuits observed in vivo have been hypothesized to represent a signature of ongoing stochastic inference but stand in apparent contrast to the deterministic response of neurons measured in vitro.…

神经元与认知 · 定量生物学 2017-03-14 Mihai A. Petrovici , Johannes Bill , Ilja Bytschok , Johannes Schemmel , Karlheinz Meier

Background: Current neuronal monitoring techniques, such as calcium imaging and multi-electrode arrays, enable recordings of spiking activity from hundreds of neurons simultaneously. Of primary importance in systems neuroscience is the…

神经元与认知 · 定量生物学 2014-11-11 Yazan N. Billeh , Michael T. Schaub , Costas A. Anastassiou , Mauricio Barahona , Christof Koch

Accurate statistical models of neural spike responses can characterize the information carried by neural populations. But the limited samples of spike counts during recording usually result in model overfitting. Besides, current models…

定量方法 · 定量生物学 2021-06-17 Qi She , Xiaoli Wu , Beth Jelfs , Adam S. Charles , Rosa H. M. Chan