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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 respect to boundary conditions on a multidimensional...
Persistent link: https://www.econbiz.de/10010740592
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 respect to boundary conditions on a multidimensional...
Persistent link: https://www.econbiz.de/10010898582
In this paper, we obtain a moderate deviation principle for a class of point processes, i.e. linear Hawkes processes.
Persistent link: https://www.econbiz.de/10011039980
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Although an economy is influenced by a natural disaster, the market response to the disaster during the first 24 hours is not clearly understood. Here we show that an earthquake quickly causes temporal changes in a foreign exchange market by examining the case of the Tohoku-Oki earthquake....
Persistent link: https://www.econbiz.de/10011117841
We consider pure-jump transaction-level models for asset prices in continuous time, driven by point processes. In a bivariate model that admits cointegration, we allow for time deformations to account for such effects as intraday seasonal patterns in volatility, and non-trading periods that may...
Persistent link: https://www.econbiz.de/10010898702
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This paper presents a simulation-based framework for sequential inference from partially and discretely observed point process models with static parameters. Taking on a Bayesian perspective for the static parameters, we build upon sequential Monte Carlo methods, investigating the problems of...
Persistent link: https://www.econbiz.de/10010848646
Signals consisting of a sequence of pulses show that inherent origin of the 1/f noise is a Brownian fluctuation of the average interevent time between subsequent pulses of the pulse sequence. In this paper, we generalize the model of interevent time to reproduce a variety of self-affine time...
Persistent link: https://www.econbiz.de/10011058357