Sökning: "Hawkes"
Visar resultat 1 - 5 av 12 uppsatser innehållade ordet Hawkes.
1. A temporal Hawkes process model for shooting occurrences in Sweden
Kandidat-uppsats, Lunds universitet/Statistiska institutionenSammanfattning : 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. LÄS MER
2. On Predicting Price Volatility from Limit Order Books
Master-uppsats, Uppsala universitet/Matematiska institutionenSammanfattning : 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. LÄS MER
3. Implementation and evaluation of the Heston-Queue-Hawkes option pricing model
Uppsats för yrkesexamina på avancerad nivå, Uppsala universitet/Sannolikhetsteori och kombinatorikSammanfattning : Introduction: This thesis presents a python implementation and evaluation of the Heston-Queue-Hawkes (HQH) model, a recent jump-diffusion model for pricing options. The model is capable of tracking options for a wide range of different underlying assets. LÄS MER
4. Hawkes Processes on Socialand Mass Media: : A Causal Study of the #BlackLivesMatter Movement inthe Summer of 2020
Master-uppsats, Uppsala universitet/Statistik, AI och data scienceSammanfattning : 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. LÄS MER
5. The self-exciting Hawkes processand dynamic contagion
Master-uppsats, Uppsala universitet/Sannolikhetsteori och kombinatorikSammanfattning : 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. LÄS MER
