Essays about: "hawkes process"
Showing result 1 - 5 of 9 essays containing the words hawkes process.
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1. A temporal Hawkes process model for shooting occurrences in Sweden
University essay from Lunds universitet/Statistiska institutionenAbstract : The Hawkes process, also referred to as a self-exciting point process, is a class of point processes where the intensity is conditioned on previous events. More specifically, an event occurrence excites the process, temporarily increasing the probability of more events occurring. READ MORE
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2. On Predicting Price Volatility from Limit Order Books
University essay from Uppsala universitet/Matematiska institutionenAbstract : Accurate forecasting of stock price movements is crucial for optimizing trade execution and mitigating risk in automated trading environments, especially when leveraging Limit Order Book (LOB) data. However, developing predictive models from LOB data presents substantial challenges due to its inherent complexities and high-frequency nature. READ MORE
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3. Hawkes Processes on Socialand Mass Media: : A Causal Study of the #BlackLivesMatter Movement inthe Summer of 2020
University essay from Uppsala universitet/Statistik, AI och data scienceAbstract : In this work we study interactions in social media and the reports in mass media during the Black LivesMatter (BLM) protests following the death of George Floyd. We implement open-source pipelines to process the data at scale and employ the self-exciting counting process known as Hawkes process to address our main question: is there a causal relation between interactions in social media and reports of street protests in mass media? Specifically, we use distributed label propagation to identify such interactions in Twitter, that supported the BLM movement, and compared the timing of these interaction to those of news reports of street protests mentioning George Floyd, via the Global Database of Events, Language, and Tone (GDELT) Project. READ MORE
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4. The self-exciting Hawkes processand dynamic contagion
University essay from Uppsala universitet/Sannolikhetsteori och kombinatorikAbstract : We introduce the necessary theory to construct self-exciting processes, particularly random and Poisson measures. Our goal is to show how to work with and analyze self-exciting processes. We consider a Hawkes process with the exponential kernel, a counting process with an intensity that depends on the process itself. READ MORE
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5. The Hawkes process – a self-exciting Poisson shot noise model
University essay from Uppsala universitet/Tillämpad matematik och statistikAbstract : .... READ MORE
