A fractional Hawkes process

DOI10.1007/978-3-030-69236-0_7MaRDI QIDQ2050302zbMATH OpenOpenAlexFDO

Authors Jing Chen, Alan G. Hawkes, Enrico Scalas

Publication date 30 August 2021

Full work available at URL https://arxiv.org/abs/2003.01027

zbMATH Keywords

Hawkes processespoint processesstochastic processes

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Abstract: We modify ETAS models by replacing the Pareto-like kernel proposed by Ogata with a Mittag-Leffler type kernel. Provided that the kernel decays as a power law with exponent $$, this replacement has the advantage that the Laplace transform of the Mittag-Leffler function is known explicitly, leading to simpler calculation of relevant quantities.

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Cites work

• First- and Second-Order Statistics Characterization of Hawkes Processes and Non-Parametric Estimation
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• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• scientific article; zbMATH DE number 3378360 (Why is no real title available?)
• Numerical evaluation of two and three parameter Mittag-Leffler functions
• On Lewis' simulation method for point processes
• Spectra of some self-exciting and mutually exciting point processes

Cited in

(10)

• Modelling temporal decay of aftershocks by a solution of the fractional reactive equation
• A fractional Hawkes process. II: Further characterization of the process
• Fifty years later: new directions in Hawkes processes
• A fractional approach to study the pure-temporal Epidemic Type Aftershock Sequence (ETAS) process for earthquakes modeling
• Hawkes Processes Modeling, Inference, and Control: An Overview
• A mutually exciting rough jump-diffusion for financial modelling
• Functional limit theorems for Hawkes processes
• Self and mutually exciting point process embedding flexible residuals and intensity with discretely Markovian dynamics
• A fractional Hawkes process for illiquidity modeling
• A fractional Hawkes process model for earthquake aftershock sequences

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