The elements of Hawkes processes

DOI10.1007/978-3-030-84639-8MaRDI QIDQ4957826zbMATH OpenOpenAlexFDO

Authors

Publication date 9 September 2021

Full work available at URL https://doi.org/10.1007/978-3-030-84639-8

zbMATH Keywords

Hawkes process

Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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(18)

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• Hawkes Processes Modeling, Inference, and Control: An Overview
• Approximation of Bayesian Hawkes process with \texttt{inlabru}
• Efficient sampling for realized variance estimation in time-changed diffusion models
• On non-asymptotic theory of recurrent neural networks in temporal point processes
• Testing procedures based on maximum likelihood estimation for marked Hawkes processes
• Scaling limits for interactive Hawkes shot noise processes
• A limit order book model for high frequency trading with rough volatility
• Mutually exciting point processes for crowdfunding platform dynamics
• On the use and misuse of time-rescaling to assess the goodness-of-fit of self-exciting temporal point processes
• Spatio-temporal Hawkes point processes: a review
• Data-inspired modeling of accidents in traffic flow networks
• Guaranteed Minimum Maturity Benefits in a Self-Exciting Stochastic Mortality Model: Pricing, Estimation and Calibration
• Large deviations of mean-field jump-Markov processes on structured sparse random graphs
• A Kolmogorov-Arnold neural model for cascading extremes
• Malliavin calculus for a Hawkes process

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