Local low-rank Hawkes processes for modeling temporal user–item interactions
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DOI: 10.1007/s10115-019-01379-6
Abstract: Hawkes processes have become very popular in modeling multiple recurrent user–item interaction events that exhibit mutual-excitation properties in various domains. Generally, modeling the interaction sequence of each user–item pair as an independent Hawkes process is… read more here.
Keywords: local low; low rank; user item; hawkes processes ... See more keywords
Mean field limits for nonlinear spatially extended Hawkes processes with exponential memory kernels
Sign Up to like & getrecommendations! Published in 2019 at "Stochastic Processes and their Applications"
DOI: 10.1016/j.spa.2018.02.007
Abstract: We consider spatially extended systems of interacting nonlinear Hawkes processes modeling large systems of neurons placed in Rd and study the associated mean field limits. As the total number of neurons tends to infinity, we… read more here.
Keywords: spatially extended; limits nonlinear; field; field limits ... See more keywords
Fluctuations for spatially extended Hawkes processes
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DOI: 10.1016/j.spa.2020.03.015
Abstract: In a previous paper, it has been shown that the mean-field limit of spatially extended Hawkes processes is characterized as the unique solution $u(t,x)$ of a neural field equation (NFE). The value $u(t,x)$ represents the… read more here.
Keywords: spatially extended; extended hawkes; field; result ... See more keywords
On the cumulant transforms for Hawkes processes
Sign Up to like & getrecommendations! Published in 2023 at "Journal of Applied Probability"
DOI: 10.1017/jpr.2022.96
Abstract: Abstract We consider the asset price as the weak solution to a stochastic differential equation driven by both a Brownian motion and the counting process martingale whose predictable compensator follows shot-noise and Hawkes processes. In… read more here.
Keywords: transforms hawkes; cumulant transforms; hawkes processes;
Editors’ foreword
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DOI: 10.1080/14697688.2018.1404804
Abstract: Since the invention of Hawkes processes in the early 1970s many researchers, including the pioneer seismologists, have studied applications over a very wide range of topics. However, these stochastic processes with a substantial modelling advantage… read more here.
Keywords: issue; mutually exciting; finance; process ... See more keywords
State-dependent Hawkes processes and their application to limit order book modelling
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DOI: 10.1080/14697688.2021.1983199
Abstract: 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 excitation… read more here.
Keywords: order; dependent hawkes; state dependent; state ... See more keywords
Theory of nonstationary Hawkes processes.
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DOI: 10.1103/physreve.96.062314
Abstract: We expand the theory of Hawkes processes to the nonstationary case, in which the mutually exciting point processes receive time-dependent inputs. We derive an analytical expression for the time-dependent correlations, which can be applied to… read more here.
Keywords: nonstationary hawkes; network; theory nonstationary; topology ... See more keywords
Hawkes processes with stochastic exogenous effects for continuous-time interaction modelling
Sign Up to like & getrecommendations! Published in 2022 at "IEEE Transactions on Pattern Analysis and Machine Intelligence"
DOI: 10.1109/tpami.2022.3161649
Abstract: Continuous-time interaction data is usually generated under time-evolving environment. Hawkes processes (HP) are commonly used mechanisms for the analysis of such data. However, typical model implementations (such as e.g. stochastic block models) assume that the… read more here.
Keywords: interaction; time; continuous time; time interaction ... See more keywords
Assessing the contagiousness of mass shootings with nonparametric Hawkes processes
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DOI: 10.1371/journal.pone.0248437
Abstract: 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 the evidence for… read more here.
Keywords: nonparametric hawkes; assessing contagiousness; contagiousness mass; mass ... See more keywords
Price impact of large orders using Hawkes processes
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DOI: 10.21914/anziamj.v61i0.12912
Abstract: In this paper we introduce a model for trading of large market orders in limit-order books. We use a linear combination of self-exciting Hawkes processes to model asset-price dynamics, as done in [Bacry et al.,… read more here.
Keywords: order; impact; price impact; price ... See more keywords
Mean field limits for interacting Hawkes processes in a diffusive regime
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DOI: 10.3150/21-bej1335
Abstract: We consider a sequence of systems of Hawkes processes having mean field interactions in a diffusive regime. The stochastic intensity of each process is a solution of a stochastic differential equation driven by N independent… read more here.
Keywords: mean field; diffusive regime; field limits; limits interacting ... See more keywords