In this paper, we address the problem of jointly modeling the influence structure and the hotness of the information itself based on the temporal events describing the process of the information cascading. Specifically, we extend the multi-dimensional Hawkes process, which captures the mutual-...
In this paper, we address the problem of jointly modeling the influence structure and the hotness of the information itself based on the temporal events describing the process of the information cascading. Specifically, we extend the multi-dimensional Hawkes process, which captures the mutual-...
We then distribute the data from these jumps as four kinds of events to form a four-dimensional Hawkes process to analyze both positive and negative jumps. Our results show several noteworthy contagion effects for all four types of jumps. For cross-contagion effects, positive jumps in the VIX ...
The function simulates a Hawkes process in a one or multi dimensional setting.
Hawkes processHawkes graphIn this study, we apply a multidimensional self-exciting negative binomial distribution (SE-NBD) process to default portfolios with 13 sectors. The SE-NBD process is a Poisson process with a gamma-distributed intensity function. We extend the SE-NBD process to a ...