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Code for Transformer Hawkes Process, ICML 2020. Contribute to Tone-97/Transformer-Hawkes-Process development by creating an account on GitHub.
Learning this graphon-based Hawkes process model helps to 1) infer the underlying relations shared by different Hawkes processes; and 2) simulate event sequences with different event types but similar dynamics. We learn the proposed model by minimizing the hierarchical optimal transport distance ...
By introducing the Deep Hawkes process to the high-frequency market making strategy, we allow a feedback loop to be created between order arrival and the state of the limit order book, together with self- and cross-excitation effects. Our high-frequency market making strategy accounts for the ...
Marked temporal point processes (MTPPs) are used to model sequences of different types of events with irregular arrival times, with broad applications ranging from healthcare and social networks to finance. We address shortcomings in existing point process models by drawing connections between modern ...
Code for Transformer Hawkes Process, ICML 2020. Contribute to Tone-97/Transformer-Hawkes-Process development by creating an account on GitHub.
Stamatina Lamprinakou, Axel Gandy Stratified epidemic model using a latent marked Hawkes process, https://doi.org/10.1016/j.mbs.2024.109260. Files Data_Scenario6.RData: The data set for the scenario of two age groups presented in Subsection 4.1. main.R : The demo file for running the scena...
First, we define the Mean Behavior Poisson process (MBPP), a novel Poisson process with a direct parameter correspondence to the popular self-exciting Hawkes process. We fit MBPP in the interval-censored setting using an interval-censored Poisson log-likelihood (IC-LL). We use the parameter ...
Aggregated Hawkes Process - MLP - VAE. Contribute to Lawisss/DL_HAWKES_PROCESS_ESTIMATION development by creating an account on GitHub.
R library for spatio-temporal Hawkes process modeling with missing dataA R package for modeling of spatio-temporal and temporal point process using a Hawkes model accounting for missing dataInstallationv0.2.2 is on CRAN and can be installed asinstall.packages("stpphawkes") ...