2 citations · 3 across the 12 of their papers we have counts for
13 papers
Rainfall is rough
Thomas Deschatre, Marc Hoffmann, Mathieu Rosenbaum
We propose a new approach to model rainfall by combining heterogeneous data sources at different time scales. Continuous arrivals of rain cells are incorporated into a Hawkes proce…
A non-local estimator for locally stationary Hawkes processes
Thomas Deschatre, Pierre Gruet, Antoine Lotz
We consider the problem of estimating the parameters of a non-stationary Hawkes process with time-dependent reproduction rate and baseline intensity. Our approach relies on the sta…
Input Convex Kolmogorov Arnold Networks
Thomas Deschatre, Xavier Warin
This article presents an input convex neural network architecture using Kolmogorov-Arnold networks (ICKAN). Two specific networks are presented: the first is based on a low-order,…
Some limit theorems for locally stationary Hawkes processes
Thomas Deschatre, Pierre Gruet, Antoine Lotz
We prove a law of large numbers and functional central limit theorem for a class of multivariate Hawkes processes with time-dependent reproduction rate. We address the difficulties…
Battery valuation on electricity intraday markets with liquidity costs
Enzo Cognéville, Thomas Deschatre, Xavier Warin
In this paper, we propose a complete modelling framework to value several batteries in the electricity intraday market at the trading session scale. The model consists of a stochas…
A Common Shock Model for multidimensional electricity intraday price modelling with application to battery valuation
Thomas Deschatre, Xavier Warin
In this paper, we propose a multidimensional statistical model of intraday electricity prices at the scale of the trading session, which allows all products to be simulated simulta…
Electricity intraday price modeling with marked Hawkes processes
Thomas Deschatre, Pierre Gruet
We consider a 2-dimensional marked Hawkes process with increasing baseline intensity in order to model prices on electricity intraday markets. This model allows to represent differ…
A survey of electricity spot and futures price models for risk management applications
Thomas Deschatre, Olivier Féron, Pierre Gruet
This review presents the set of electricity price models proposed in the literature since the opening of power markets. We focus on price models applied to financial pricing and ri…
On the control of the difference between two Brownian motions: an application to energy markets modeling
Thomas Deschatre
We derive a model based on the structure of dependence between a Brownian motion and its reflection according to a barrier. The structure of dependence presents two states of corre…
Deep combinatorial optimisation for optimal stopping time problems : application to swing options pricing
Thomas Deschatre, Joseph Mikael
A new method for stochastic control based on neural networks and using randomisation of discrete random variables is proposed and applied to optimal stopping time problems. The met…
Local polynomial estimation of the intensity of a doubly stochastic Poisson process with bandwidth selection procedure
Thomas Deschatre
We consider a doubly stochastic Poisson process with stochastic intensity where is a continuous Itô semimartingale and is an integer. Both proces…
Estimating fast mean-reverting jumps in electricity market models
Deschatre Thomas, Féron Olivier, Hoffmann Marc
Based on empirical evidence of fast mean-reverting spikes, we model electricity price processes as the sum of a continuous Itô semimartingale and a a mean-reverting com…
On the control of the difference between two Brownian motions: a dynamic copula approach
Thomas Deschatre
We propose new copulae to model the dependence between two Brownian motions and to control the distribution of their difference. Our approach is based on the copula between the Bro…