Global ETD Search
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Showing 1 to 10 of 10 for “"Hawkes Process"”.
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New Spatio-temporal Hawkes Process Models For Social Good
… across events is also getting stronger. Hawkes processes stand out given their ability to capture a wide range of contagion and self-excitation patterns, including the transmission of infectious disease, earthquake aftershock distributions, near-repeat crime patterns, and overdose …
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A modulated renewal Hawkes process and its application to modelling extreme mid-price drops on cryptocurrencies
The Hawkes process was first proposed by Alan G. Hawkes in which the arrival of events exhibits a self-exciting behaviour. One extension of the classical Hawkes process is the renewal Hawkes process, which allows the underlying process for background events to be a renewal process, rather than the …
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Hawkes processes and some financial applications
The self-exciting point process, which is now more commonly known as the Hawkes process, is a model for a point process on the real line introduced by Hawkes (1971). The distinguishing feature of such processes is that they allow all past `events' to affect the intensity function at the current …
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Merton Investment Problem for the Hawkes-based Risk Model
… investment problem in insurance where the risk process is based on the general compound Hawkes process. That means the arrival of claims modeled with a Hawkes process and the modeled claim sizes follow a finite number of fixed jump sizes governed by a Markov chain evolution. The Merton …
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Learning the magnitude and duration of influence of infections
… we propose modeling incident infections using a Hawkes process, which is a self-exciting stochastic process, encoding the intuition that new infections trigger further infections. Using data from a large urban hospital, we demonstrate that our approach reveals different patterns of infection …
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Parameter Estimation for Anonymous Hawkes Processes
Hawkes Processes are self-exciting point processes used to model many real-life networks in which an event from one agent causes the rate at which events occur from related agents to increase, such as in earthquake networks or social media. This project investigates the question of finding the …
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Influence mining from unstructured big data
… queries and then, proposing a novel extension of Hawkes process to model the evolutionary trend of the influence of an event on search queries. Evaluation results using news articles and search log data show that the proposed approach is effective for identification of queries triggered by events …
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High-frequency correlation dynamics: Is the Epps effect a bias?
… arising from asynchrony when the underlying process is a Brownian diffusion, and when the underlying process is from discrete connected events (proxied using a D-type Hawkes process). We design three experiments using the Epps effect to discriminate the underlying processes. These experiments …
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Detecting and analyzing bursty events on Twitter
… interaction between Twitter users using the Hawkes process model. We introduce an annotated corpus of 7,220 tweets produced by five leading candidates in the 2016 U.S. presidential election. Evaluating the system on the annotated corpus shows that with a precision of 75%, tweets caused …
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Persistent cascades and the structure of influence in a communication network
… of a network, based on a multivariate stochastic process called a Hawkes process. We develop a novel approach for parameter estimation in this model that uses a Bayesian expectation-maximization (EM) scheme with a network prior. We first apply the model in the univariate case to the group …