Дисертації з теми "Hawke Process"
Оформте джерело за APA, MLA, Chicago, Harvard та іншими стилями
Ознайомтеся з топ-22 дисертацій для дослідження на тему "Hawke Process".
Біля кожної праці в переліку літератури доступна кнопка «Додати до бібліографії». Скористайтеся нею – і ми автоматично оформимо бібліографічне посилання на обрану працю в потрібному вам стилі цитування: APA, MLA, «Гарвард», «Чикаго», «Ванкувер» тощо.
Також ви можете завантажити повний текст наукової публікації у форматі «.pdf» та прочитати онлайн анотацію до роботи, якщо відповідні параметри наявні в метаданих.
Переглядайте дисертації для різних дисциплін та оформлюйте правильно вашу бібліографію.
Lindström, Tommy. "Multivariate Hawkes Process Modeled News Flow: Forecasting Financial Markets." Thesis, Umeå universitet, Institutionen för matematik och matematisk statistik, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-157671.
Повний текст джерелаKvantitativa analytiker inom finansvärlden försöker med olika tillvägagångssätt utforma vinnande trading-strategier. Oftast görs detta genom att analysera historiska priser från olika perspektiv. Vissa har analyserat andra faktorer än prisrelaterade sådana, i hopp om att dessa ska ge insikt om vart marknaden är på väg, som i vissa fall har lyckats. Det här arbetet undersöker om en nyhetsflödesmodell baserad på en multivariat Hawkes-process kan ge en inblick i det framtida nyhetsflödet, och om det kan användas för att lyckosamt prediktera finansiella marknaders rörelser i termer av logaritmisk avkastning genom att nyttja regressions- och klassificeringsmodeller. Resultaten visar att de tränade modellerna generellt sett presterar dåligt i termer av vanliga regressions- och klassificeringsmått. Genom att applicera de tränade modellerna till enkelt utformade trading-strategier visas att i vissa fall kan dessa prestera bättre än en buy-and-hold-strategi. De tvetydiga resultaten indikerar att modellerna kan vara lönsamma, men att prediktionerna inte är särskilt pålitliga. De tränade modellerna verkar inte kunna finna viktiga strukturer i data från nyhetsflödesmodellen som relaterar till marknadsavkastningar, men innan nyhetflödesmodellen avfärdas skulle den kunna modifieras genom att, t. ex., utöka antalet observationer, och genom att undersöka andra tidsgranulariteter.
Haghdan, Maysam. "Hawkes Process Models for Unsupervised Learning on Uncertain Event Data." University of Toledo / OhioLINK, 2017. http://rave.ohiolink.edu/etdc/view?acc_num=toledo1503679661498849.
Повний текст джерелаLandström, Julia. "The Hawkes process – a self-exciting Poisson shot noise model." Thesis, Uppsala universitet, Tillämpad matematik och statistik, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-396673.
Повний текст джерелаRossi, Paulo Victor Camargo. "Tópicos em dinâmica evolucionária: monomorfismo no jogo hawk-dove e seleção multinível." Universidade de São Paulo, 2013. http://www.teses.usp.br/teses/disponiveis/43/43134/tde-19112014-103425/.
Повний текст джерелаIn this dissertation we have applied Evolutionary Game Theory concepts to the Hawk-Dove game that has been originally introduced by Maynard Smith as a model for conventional aggression [37]. We then studied the competition between pure (consistent) and mixed/random (inconsistent) strategies in an extension of this game which, subject to stochastic effects, presents a drift mechanism that drives the population to a monomorphic equilibrium of the inconsistente strategy. We have also studied the problem of Strong Altruism and the effects of a group demography in its evolution, based on Schonman, Vicente and Catichas 2LFW framework [58]. We have elaborated a formula for the processs extinction probability in its initial stages and calculated and simulated the stable equilibriums of the framework under weak selection for t ! 1 for some games of interest.
Jahn, Michael [Verfasser], Hauke [Akademischer Betreuer] Harms, Hauke [Gutachter] Harms, Lars [Gutachter] Blank, and Susann [Gutachter] Müller. "Characterization of population heterogeneity in a model biotechnological process using Pseudomonas putida / Michael Jahn ; Gutachter: Hauke Harms, Lars Blank, Susann Müller ; Betreuer: Hauke Harms." Leipzig : Universitätsbibliothek Leipzig, 2015. http://d-nb.info/1239656904/34.
Повний текст джерелаAnane, Marouane. "Une approche mathématique de l'investissement boursier." Thesis, Châtenay-Malabry, Ecole centrale de Paris, 2015. http://www.theses.fr/2015ECAP0017/document.
Повний текст джерелаThe aim of this thesis is to address the real need of predicting the prices of stocks. In fact, the randomness governing the evolution of prices is, for financial players like market makers, one of the largest sources of risk. In this context, we highlight the possibility of reducing the uncertainty of the future prices using appropriate mathematical models. This study was made possible by a large base of high frequency data and a powerful computational grid provided by the Automatic Market Making team at BNP Paribas. In this paper, we present only the results of high frequency tests. Tests are of less scientific interest in the academic world and are confidential. Therefore, these results will be deliberately omitted.In the first chapter, the background and the objectives of this study are presented along with the different methods used and the main results obtained.The focus of chapter 2 is on the contribution of technological superiority in high frequency trading. In order to do this, an omniscient trader is simulated and the total gain over three years is calculated. The obtained gain is very modest and reflects the limited contribution of technology in high frequency trading. This result underlines the primary role of research and modeling in this field.In Chapter 3, the predictability of prices using some order book indicators is studied. Using conditional expectations, the empirical evidence of the statistical dependencies between the prices and indicators is presented. The importance of these dependencies results from the simplicity of the method, eliminating any risk of over fitting the data. Then the combination of the various indicators is tested using a linear regression and the various numerical and statistical problems associated with this method are analyzed. Finally, it can be concluded that the prices are predictable for a period of a few minutes and the assumption of market efficiency is questioned.In Chapter 4, the mechanism of price formation from the arrival of events in the order book is investigated. The orders are classified in twelve types and their statistical properties are analyzed. The dependencies between these different types of orders are studied and a model of order book in line with the empirical observations is proposed. Finally, this model is used to predict prices and confirm the assumption of market inefficiency suggested in Chapter 3
Cordi, Marcus. "Causalité des marchés financiers : asymétrie temporelle et réseaux multi-échelles de meneurs et suiveurs." Thesis, Université Paris-Saclay (ComUE), 2019. http://www.theses.fr/2019SACLC013/document.
Повний текст джерелаThis thesis aims to uncover the underlyingcausality structure of financial markets by focusing onthe inference of investor causal networks at multipletimescales in two trader-resolved datasets.The first part of this thesis is devoted to the causal strengthof Hawkes processes. These processes describe in a clearlycausal way how the activity rate of e.g. an investor dependson his past activity rate; its multivariate version alsomakes it possible to include the interactions between theagents, at all time scales. The main result of this part isthat the classical MLE estimation of the process parametersdoes not vary significantly if the arrow of time is reversedin the univariate and symmetric multivariate case.This means that blindly trusting univariate and symmetricmultivariate Hawkes processes to infer causality from datais problematic. In addition, we find a dependency betweenthe level of causality in the process and its endogeneity.For long time series of synthetic data, one can discriminatebetween the forward and backward arrows of time byperforming rigorous statistical tests on the processes, butfor empirical data the situation is much more ambiguous,as it is entirely possible to find a better Hawkes process fitwhen time runs backwards compared to forwards.Asymmetric Hawkes processes do not suffer from veryweak causality. Fitting them to the individual traders’ actionsfound in our datasets is unfortunately not very successfulfor two reasons. We carefully checked that tradersactions in both datasets are highly non-stationary, andthat local stationarity cannot be assumed to hold as thereis simply not enough data, even if each dataset containsabout one million trades. This is also compounded by thefact that Hawkes processes encode the pairwise influenceof traders for all timescales simultaneously.In order to alleviate this problem, the second part ofthis thesis focuses on causality between specific pairs oftimescales. Further filtering is achieved by reducing theeffective number of investors; Statistically Validated Networksare applied to cluster investors into groups basedon the statistically high synchronisation of their actions(buy, sell or neutral) in time intervals of a given timescale.This part then generalizes single-timescale lead-lag SVNsto lead-lag networks between two timescales and introducesthree slightly different methodsThese methods make it possible to characterize causalityin a novel way. We are able to compare the time reversalasymmetry of trader activity and that of price volatility,and conclude that the causal structure of trader activity isconsiderably more complex than that of the volatility for agiven category of traders. Expectedly, institutional traders,whose impact on prices is much larger than that of retailclients, have a causality structure that is closer to that ofvolatility. This is because volatility, being a macroscopicquantity, aggregates the behaviour of all types of traders,thereby hiding the causality structure of minor players
Fosset, Antoine. "Crises de liquidité endogènes dans les marchés financiers." Thesis, Institut polytechnique de Paris, 2020. http://www.theses.fr/2020IPPAX054.
Повний текст джерелаRecent empirical analyses have revealed the existence of the Zumbach effect. This discovery has led to the development of quadratic Hawkes processes, which are suitable for reproducing this effect. Since this model is not linked with the price formation process, we extended it to order book modeling with a generalized quadratic Hawkes process (GQ-Hawkes). Using market data, we showed that there is a Zumbach-like effect that decreases future liquidity. Microfounding the Zumbach effect, it is responsible for a destabilization of financial markets. Moreover, the exact calibration of a GQ-Hawkes process tells us that the markets are on the verge of criticality. This empirical evidence therefore prompted us to analyse an order-book model constructed upon a Zumbach-like feedback. We therefore introduced the quadratic Santa Fe model and proved numerically that there is a phase transition between a stable market and an unstable market subject to liquidity crises. Thanks to a finite size scaling we were able to determine the critical exponents of this transition, which appears to belong to a new universality class. As this was not analytically tractable, it led us to introduce simpler models to describe liquidity crises. Setting aside the microstructure of the order book, we obtain a class of spread models where we computed the critical parameters of their transitions. Even if these exponents are not those of the quadratic Santa Fe transition, these models open new horizons for modelling spread dynamics. One of them has a non-linear coupling that reveals a metastable state. This elegant alternative scenario does not need critical parameters to obtain an unstable market, even if the empirical evidence is not in its favour. Finally, we looked at the order book dynamics from another point of view: the reaction-diffusion one. We have modelled a liquidity that appears in the order book with a certain frequency. The resolution of this model at equilibrium reveals that there is a condition of stability on the parameters beyond which the order book empties completely, corresponding to a liquidity crisis. By calibrating it on market data we were able to qualitatively analyse the distance to this unstable region
Lu, Xiaofei. "Modélisation du carnet d’ordres, Applications Market Making." Thesis, Université Paris-Saclay (ComUE), 2018. http://www.theses.fr/2018SACLC069/document.
Повний текст джерелаThis thesis addresses different aspects around the market microstructure modelling and market making problems, with a special accent from the practitioner’s viewpoint. The limit order book (LOB), at the heart of financial market, is a complex continuous high-dimensional queueing system. We wish to improve the knowledge of LOB for the research community, propose new modelling ideas and develop concrete applications to the interest of Market Makers. We would like to specifically thank the Automated Market Making team for providing a large high frequency database of very high quality as well as a powerful computational grid, without whom these researches would not have been possible. The first chapter introduces the incentive of this research and resumes the main results of the different works. Chapter 2 fully focuses on the LOB and aims to propose a new model that better reproduces some stylized facts. Through this research, not only do we confirm the influence of historical order flows to the arrival of new ones, but a new model is also provided that captures much better the LOB dynamic, notably the realized volatility in high and low frequency. In chapter 3, the objective is to study Market Making strategies in a more realistic context. This research contributes in two aspects : from one hand the newly proposed model is more realistic but still simple enough to be applied for strategy design, on the other hand the practical Market Making strategy is of large improvement compared to the naive one and is promising for practical use. High-frequency prediction with deep learning method is studied in chapter 4. Many results of the 1-step and multi-step prediction have found the non-linearity, stationarity and universality of the relationship between microstructural indicators and price change, as well as the limitation of this approach in practice
Cheysson, Felix. "Maladies infectieuses et données agrégées : estimation de la fraction attribuable et prise en compte de biais." Thesis, université Paris-Saclay, 2020. http://www.theses.fr/2020UPASR012.
Повний текст джерелаEpidemiological surveillance is most often based on the analysis of aggregate health indicators. We study the methodological problems encountered when working with this type of data in a public health context. First, we focus on calculating the attributable fraction when the exposure is epidemic and the number of health events exhibits a seasonality. For the most frequently used time series models, we present a method for estimating this fraction and its confidence intervals. This work enabled us to show that the awareness campaign "Antibiotics are not automatic!" led to a reduction of more than half of the antibiotic prescriptions associated with influenza epidemics as early as 2005. Moreover, recently 17% of prescriptions are thought to be attributable to viral infections of the lower respiratory tract during the cold period, and nearly 38% in children, half of which attributable to bronchiolitis. In a second step, we propose Hawkes processes as models for contagious diseases and study the impact of data aggregation on their estimation. In this context, we develop a method for estimating the process parameters and prove that the estimators have good asymptotic properties. This work provides statistical tools to avoid some biases due to the use of aggregate data for the study of attributable fractions and contagious diseases
Phi, Tien Cuong. "Décomposition de Kalikow pour des processus de comptage à intensité stochastique." Thesis, Université Côte d'Azur, 2022. http://www.theses.fr/2022COAZ4029.
Повний текст джерелаThe goal of this thesis is to construct algorithms which are able to simulate the activity of a neural network. The activity of the neural network can be modeled by the spike train of each neuron, which are represented by a multivariate point processes. Most of the known approaches to simulate point processes encounter difficulties when the underlying network is large.In this thesis, we propose new algorithms using a new type of Kalikow decomposition. In particular, we present an algorithm to simulate the behavior of one neuron embedded in an infinite neural network without simulating the whole network. We focus on mathematically proving that our algorithm returns the right point processes and on studying its stopping condition. Then, a constructive proof shows that this new decomposition holds for on various point processes.Finally, we propose algorithms, that can be parallelized and that enables us to simulate a hundred of thousand neurons in a complete interaction graph, on a laptop computer. Most notably, the complexity of this algorithm seems linear with respect to the number of neurons on simulation
Valmy, Larissa. "Modèles hiérarchiques et processus ponctuels spatio-temporels - Applications en épidémiologie et en sismologie." Phd thesis, Université des Antilles-Guyane, 2012. http://tel.archives-ouvertes.fr/tel-00841146.
Повний текст джерелаPapalexiou, Vasilios. "An analysis of the impact of high frequency trading on equity markets." Thesis, Queensland University of Technology, 2020. https://eprints.qut.edu.au/205752/1/Vasilios_Papalexiou_Thesis.pdf.
Повний текст джерелаKrapf, Lutz Christian [Verfasser], Urs [Akademischer Betreuer] Schmidhalter, Hauke [Akademischer Betreuer] Heuwinkel, and Andreas [Akademischer Betreuer] Gronauer. "Evaluation of near infrared spectroscopy to estimate process parameters in anaerobic digestion of agricultural feedstocks / Lutz Christian Krapf. Gutachter: Hauke Heuwinkel ; Urs Schmidhalter ; Andreas Gronauer. Betreuer: Urs Schmidhalter." München : Universitätsbibliothek der TU München, 2013. http://d-nb.info/1043041788/34.
Повний текст джерелаArastuie, Makan. "Generative Models of Link Formation and Community Detection in Continuous-Time Dynamic Networks." University of Toledo / OhioLINK, 2020. http://rave.ohiolink.edu/etdc/view?acc_num=toledo1596718772873086.
Повний текст джерелаEl, Euch Omar. "Quantitative Finance under rough volatility." Thesis, Sorbonne université, 2018. http://www.theses.fr/2018SORUS172/document.
Повний текст джерелаThe aim of this thesis is to study various aspects of the rough behavior of the volatility observed universally on financial assets. This is done in six steps. In the first part, we investigate how rough volatility can naturally emerge from typical behav- iors of market participants. To do so, we build a microscopic price model based on Hawkes processes in which we encode the main features of the market microstructure. By studying the asymptotic behavior of the price on the long run, we obtain a rough version of the Heston model exhibiting rough volatility and leverage effect. Using this original link between Hawkes processes and the Heston framework, we compute in the second part of the thesis the characteristic function of the log-price in the rough Heston model. In the classical Heston model, the characteristic function is expressed in terms of a solution of a Riccati equation. We show that rough Heston models enjoy a similar formula, the Riccati equation being replaced by its fractional version. This formula enables us to overcome the non-Markovian nature of the model in order to deal with derivatives pricing. In the third part, we tackle the issue of managing derivatives risks under the rough Heston model. We establish explicit hedging strategies using as instruments the underlying asset and the forward variance curve. This is done by specifying the infinite-dimensional Markovian structure of the rough Heston model. Being able to price and hedge derivatives in the rough Heston model, we challenge the model to practice in the fourth part. More precisely, we show the excellent fit of the model to historical and implied volatilities. We also show that the model reproduces the Zumbach’s effect, that is a time reversal asymmetry which is observed empirically on financial data. While the Hawkes approximation enabled us to solve the pricing and hedging issues under the rough Heston model, this approach cannot be extended to an arbitrary rough volatility model. We study in the fifth part the behavior of the at-the-money implied volatility for small maturity under general stochastic volatility models. In the same spirit as the Hawkes approximation, we look in the sixth part of this thesis for a tractable Markovian approximation that holds for a general class of rough volatility models. By applying this approximation on the specific case of the rough Heston model, we derive a numerical scheme for solving fractional Riccati equations. Finally, we end this thesis by studying a problem unrelated to rough volatility. We consider an exchange looking for the best make-take fees system to attract liquidity in its platform. Using a principal-agent framework, we describe the best contract that the exchange should propose to the market maker and provide the optimal quotes displayed by the latter. We also argue that this policy leads to higher quality of liquidity and lower trading costs for investors
Smith, Carrie Rachael. ""Poetry in the making" : Ted Hughes and the art of writing." Thesis, University of Exeter, 2013. http://hdl.handle.net/10871/12143.
Повний текст джерелаSansonnet, Laure. "Inférence non-paramétrique pour des interactions poissoniennes." Phd thesis, Université Paris Sud - Paris XI, 2013. http://tel.archives-ouvertes.fr/tel-00835427.
Повний текст джерелаMcLucas, Alan Charles Civil Engineering Australian Defence Force Academy UNSW. "An investigation into the integration of qualitative and quantitative techniques for addressing systemic complexity in the context of organisational strategic decision-making." Awarded by:University of New South Wales - Australian Defence Force Academy. School of Civil Engineering, 2001. http://handle.unsw.edu.au/1959.4/38744.
Повний текст джерелаPetras, Petr. "Propojenost vysokofrekvenčních dat." Master's thesis, 2016. http://www.nusl.cz/ntk/nusl-352785.
Повний текст джерелаKiseľ, Rastislav. "Quoting behaviour of a market-maker under different exchange fee structures." Master's thesis, 2018. http://www.nusl.cz/ntk/nusl-372979.
Повний текст джерелаSha, Hao. "Solving Prediction Problems from Temporal Event Data on Networks." Thesis, 2021. http://dx.doi.org/10.7912/C2/46.
Повний текст джерелаMany complex processes can be viewed as sequential events on a network. In this thesis, we study the interplay between a network and the event sequences on it. We first focus on predicting events on a known network. Examples of such include: modeling retweet cascades, forecasting earthquakes, and tracing the source of a pandemic. In specific, given the network structure, we solve two types of problems - (1) forecasting future events based on the historical events, and (2) identifying the initial event(s) based on some later observations of the dynamics. The inverse problem of inferring the unknown network topology or links, based on the events, is also of great important. Examples along this line include: constructing influence networks among Twitter users from their tweets, soliciting new members to join an event based on their participation history, and recommending positions for job seekers according to their work experience. Following this direction, we study two types of problems - (1) recovering influence networks, and (2) predicting links between a node and a group of nodes, from event sequences.