相关论文: Bayesian inference for aggregated Hawkes processes

Trade executions for major stocks come in bursts of activity, which can be partly attributed to the presence of self- and mutual excitations endogenous to the system. In this paper, we study transaction reports for five FTSE 100 stocks. We…

An extension of the Hawkes process, the Marked Hawkes process distinguishes itself by featuring variable jump size across each event, in contrast to the constant jump size observed in a Hawkes process without marks. While extensive…

We introduce and establish the main properties of QHawkes ("Quadratic" Hawkes) models. QHawkes models generalize the Hawkes price models introduced in E. Bacry et al. (2014), by allowing all feedback effects in the jump intensity that are…

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…

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…

Gun violence and mass shootings are high-profile epidemiological issues facing the United States with questions regarding their contagiousness gaining prevalence in news media. Through the use of nonparametric Hawkes processes, we examine…

We derive explicit, closed-form expressions for the cumulant densities of a multivariate, self-exciting Hawkes point process, generalizing a result of Hawkes in his earlier work on the covariance density and Bartlett spectrum of such…

We present a stability study of the class of multivariate self-excited Hawkes point processes, that can model natural and social systems, including earthquakes, epileptic seizures and the dynamics of neuron assemblies, bursts of exchanges…

Over the past few decades, the Hawkes process has become a popular framework for modeling temporal events thanks to its flexibility to capture different dependency structures. The objective of this work is to model call sequences emitted by…

This chapter first presents a rather personal view of some different aspects of predictability, going in crescendo from simple linear systems to high-dimensional nonlinear systems with stochastic forcing, which exhibit emergent properties…

Networks capture our intuition about relationships in the world. They describe the friendships between Facebook users, interactions in financial markets, and synapses connecting neurons in the brain. These networks are richly structured…

We propose a novel probabilistic framework to model continuous-time interaction events data. Our goal is to infer the \emph{implicit} community structure underlying the temporal interactions among entities, and also to exploit how the…

Hawkes process provides an effective statistical framework for analyzing the time-dependent interaction of neuronal spiking activities. Although utilized in many real applications, the classic Hawkes process is incapable of modelling…

In the last decade, Hawkes processes have received a lot of attention as good models for functional connectivity in neural spiking networks. In this paper we consider a variant of this process, the Age Dependent Hawkes process, which…

Detecting rare events, those defined to give rise to high impact but have a low probability of occurring, is a challenge in a number of domains including meteorological, environmental, financial and economic. The use of machine learning to…

Existence and stability properties are studied for Hawkes process, i.e. point process $S$ that has long-memory and intensity $r(t)=\lambda \big(g_0(t)+ \sum_{\tau<t, \tau \in S} h(t-\tau) \big)$. The approach to Hawkes process presented in…

We construct a two-tailed peak-over-threshold Hawkes model that captures asymmetric self- and cross-excitation in and between left- and right-tail extreme values within a time series. We demonstrate its applicability by investigating…

In this paper, we derive an explicit upper bound for the Wasserstein distance between a functional of point processes and a Gaussian distribution. Using Stein's method in conjunction with Malliavin's calculus and the Poisson embedding…

Online boards offer a platform for sharing and discussing content, where discussion emerges as a cascade of comments in response to a post. Branching point process models offer a practical approach to modelling these cascades; however,…

Predicting popularity, or the total volume of information outbreaks, is an important subproblem for understanding collective behavior in networks. Each of the two main types of recent approaches to the problem, feature-driven and generative…