Modelling Price and Variance Jump Clustering Using the Marked Hawkes Process

2021 ◽  
Author(s):  
Jian Chen ◽  
Andrew Urquhart ◽  
Michael P. Clements
Keyword(s):  
Hawkes Process

scholarly journals Predicting Water Pipe Failures with a Recurrent Neural Hawkes Process Model

2020 ◽  
Author(s):  
Jeroen Verheugd ◽  
Paulo R de Oliveira da Costa ◽  
Reza Refaei Afshar ◽  
Yingqian Zhang ◽  
Sjoerd Boersma
Keyword(s):  
Process Model ◽  
Hawkes Process ◽  
Water Pipe

scholarly journals An Analysis of Cds Market Liquidity by the Hawkes Process

2013 ◽  
Author(s):  
Masahiko Egami ◽  
Yasuyuki Kato ◽  
Tomochika Sawaki
Keyword(s):  
Market Liquidity ◽  
Hawkes Process

Multivariate Hawkes process model of market participants behavior in the high frequency world

2021 ◽  
Vol 08 (01) ◽  
pp. 2050054
Author(s):  
Sugato Chakravarty ◽  
Kiseop Lee ◽  
Yang Xi
Keyword(s):  
Public Sector ◽  
High Frequency ◽  
Process Model ◽  
Hawkes Process ◽  
Transaction Data ◽  
The Public ◽  
Market Participants ◽  
Public Sector Banks ◽  
Average Return ◽  
Causality Relationship

We propose a multivariate Hawkes process to model the interaction between the non-high frequency traders (NHFTs) behavior (Buy and sell) and high frequency traders (HFTs) behavior (Buy and sell). We apply our model to the intraday transaction data of the public sector banks stock in India, which is sampled from March 2012 to June 2012. We find that the mutually-exciting NHFT and HFT behaviors benefit the stocks, which have better average return above the average return of the public sector bank index. We further identify the granger causality relationship for mutually exciting dominating stocks that HFTs activities cause the activities of NHFTs. In other words, NHFTs are market followers in those stocks.

Universal Transformer Hawkes process

2021 ◽  
Author(s):  
Lu-ning Zhang ◽  
Jian-wei Liu ◽  
Zhi-yan Song ◽  
Xin Zuo ◽  
Wei-min Li ◽  
...  
Keyword(s):  
Hawkes Process

Hidden Buyer Identification in Darknet Markets via Dirichlet Hawkes Process

2021 ◽  
Author(s):  
Panpan Zheng ◽  
Shuhan Yuan ◽  
Xintao Wu ◽  
Yubao Wu
Keyword(s):  
Hawkes Process
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