The Elements Of Hawkes Processes

Author : Patrick J. Laub
Publisher : Springer Nature
ISBN 13 : 3030846393
Total Pages : 134 pages
Book Rating : 4.98/5 ( download)

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Download or read book The Elements of Hawkes Processes written by Patrick J. Laub and published by Springer Nature. This book was released on 2022-01-03 with total page 134 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hawkes processes are studied and used in a wide range of disciplines: mathematics, social sciences, and earthquake modelling, to name a few. This book presents a selective coverage of the core and recent topics in the broad field of Hawkes processes. It consists of three parts. Parts I and II summarise and provide an overview of core theory (including key simulation methods) and inference methods, complemented by a selection of recent research developments and applications. Part III is devoted to case studies in seismology and finance that connect the core theory and inference methods to practical scenarios. This book is designed primarily for applied probabilists, statisticians, and machine learners. However, the mathematical prerequisites have been kept to a minimum so that the content will also be of interest to undergraduates in advanced mathematics and statistics, as well as machine learning practitioners. Knowledge of matrix theory with basics of probability theory, including Poisson processes, is considered a prerequisite. Colour-blind-friendly illustrations are included.

Author : Frédéric Abergel
Publisher : Cambridge University Press
ISBN 13 : 1316870480
Total Pages : 242 pages
Book Rating : 4.88/5 ( download)

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Download or read book Limit Order Books written by Frédéric Abergel and published by Cambridge University Press. This book was released on 2016-05-09 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt: A limit order book is essentially a file on a computer that contains all orders sent to the market, along with their characteristics such as the sign of the order, price, quantity and a timestamp. The majority of organized electronic markets rely on limit order books to store the list of interests of market participants on their central computer. A limit order book contains all the information available on a specific market and it reflects the way the market moves under the influence of its participants. This book discusses several models of limit order books. It begins by discussing the data to assess their empirical properties, and then moves on to mathematical models in order to reproduce the observed properties. Finally, the book presents a framework for numerical simulations. It also covers important modelling techniques including agent-based modelling, and advanced modelling of limit order books based on Hawkes processes. The book also provides in-depth coverage of simulation techniques and introduces general, flexible, open source library concepts useful to readers studying trading strategies in order-driven markets.

Author : Günter Last
Publisher : Cambridge University Press
ISBN 13 : 1107088011
Total Pages : 315 pages
Book Rating : 4.16/5 ( download)

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Download or read book Lectures on the Poisson Process written by Günter Last and published by Cambridge University Press. This book was released on 2017-10-26 with total page 315 pages. Available in PDF, EPUB and Kindle. Book excerpt: A modern introduction to the Poisson process, with general point processes and random measures, and applications to stochastic geometry.

Author : Anca Patricia Vacarescu
Publisher : Stanford University
ISBN 13 :
Total Pages : 192 pages
Book Rating : 4.00/5 ( download)

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Download or read book Filtering and Parameter Estimation for Partially Observed Generalized Hawkes Processes written by Anca Patricia Vacarescu and published by Stanford University. This book was released on 2011 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt: We consider the nonlinear filtering problem for partially observed Generalized Hawkes Processes, which can be applied in the context of portfolio credit risk. The problem belongs to the larger class of hidden Markov models, where the counting process is observed at discrete points in time and the observations are sparse, while the intensity driving process in unobservable. We construct the conditional distribution of the process given the information filtration and we discuss the analytical and numerical properties of the corresponding filters. In particular, we study the sensitivity of the filters with respect to the parameters of the model, and we obtain a monotonicity result with respect to the jump and the volatility terms driving the intensity. Using the scaled process, we provide necessary and sufficient conditions for the frequency of time observations in terms of the parameters of the model, to ensure a good performance of the filter. We also address the problem of parameter estimation for the Generalized Hawkes Process in the framework of the EM algorithm, and we analyze the effect of the self-exciting feature of our process on the asymptotic and numerical properties of the estimators.

Author : Ethan Hawke
Publisher : Knopf
ISBN 13 : 0385352387
Total Pages : 257 pages
Book Rating : 4.83/5 ( download)

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Download or read book A Bright Ray of Darkness written by Ethan Hawke and published by Knopf. This book was released on 2021 with total page 257 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This is a Borzoi book published by Alfred A. Knopf"--Title page verso.

Author : S. E. Hinton
Publisher : Macmillan
ISBN 13 : 1466823836
Total Pages : 306 pages
Book Rating : 4.39/5 ( download)

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Download or read book Hawkes Harbor written by S. E. Hinton and published by Macmillan. This book was released on 2010-04-27 with total page 306 pages. Available in PDF, EPUB and Kindle. Book excerpt: The legendary author of The Outsiders returns with her first new novel in more than fifteen years! An orphan and a bastard, Jamie grew up tough enough to handle almost anything. He survived foreign prisons, smugglers, pirates, gunrunners, and shark attacks. But what he finds in the quote town of Hawkes Harbor, Delaware, was enough to drive him almost insane—and change his life forever. At the Publisher's request, this title is being sold without Digital Rights Management Software (DRM) applied.

Author : D.J. Daley
Publisher : Springer Science & Business Media
ISBN 13 : 0387215646
Total Pages : 487 pages
Book Rating : 4.48/5 ( download)

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Download or read book An Introduction to the Theory of Point Processes written by D.J. Daley and published by Springer Science & Business Media. This book was released on 2006-04-10 with total page 487 pages. Available in PDF, EPUB and Kindle. Book excerpt: Point processes and random measures find wide applicability in telecommunications, earthquakes, image analysis, spatial point patterns, and stereology, to name but a few areas. The authors have made a major reshaping of their work in their first edition of 1988 and now present their Introduction to the Theory of Point Processes in two volumes with sub-titles Elementary Theory and Models and General Theory and Structure. Volume One contains the introductory chapters from the first edition, together with an informal treatment of some of the later material intended to make it more accessible to readers primarily interested in models and applications. The main new material in this volume relates to marked point processes and to processes evolving in time, where the conditional intensity methodology provides a basis for model building, inference, and prediction. There are abundant examples whose purpose is both didactic and to illustrate further applications of the ideas and models that are the main substance of the text.

Author : David Arthur Shnidman
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.88/5 ( download)

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Download or read book Solving the Wiener-Hopf Equation written by David Arthur Shnidman and published by . This book was released on 1965 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Wiener-Hopf equation is briefly derived and the method of solving, which is believed easiest to use, is presented. The solution is then specialized for the case where the message and input spectral densities are rational functions.

Author : A. V. Skorokhod
Publisher : Courier Corporation
ISBN 13 : 0486781461
Total Pages : 208 pages
Book Rating : 4.64/5 ( download)

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Download or read book Studies in the Theory of Random Processes written by A. V. Skorokhod and published by Courier Corporation. This book was released on 2014-07-28 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt: Three-part treatment introduces basics plus theory of stochastic differential equations and various limit theorems connected with convergence of sequence of Markov chains to Markov process with continuous time. 1965 edition.

Author : Ying Jiao
Publisher : Springer
ISBN 13 : 9789811515781
Total Pages : 248 pages
Book Rating : 4.86/5 ( download)

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Download or read book From Probability to Finance written by Ying Jiao and published by Springer. This book was released on 2021-03-21 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents a collection of lecture notes of mini-courses taught at BICMR Summer School of Financial Mathematics, from May 29 to June 9, 2017. Each chapter is self-contained and corresponds to one mini-course which deals with a distinguished topic, such as branching processes, enlargement of filtrations, Hawkes processes, copula models and valuation adjustment analysis, whereas the global topics cover a wide range of advanced subjects in financial mathematics, from both theoretical and practical points of view. The authors include world-leading specialists in the domain and also young active researchers. This book will be helpful for students and those who work on probability and financial mathematics.