6 citations · 9 across the 2 of their papers we have counts for
3 papers
q-fin.ST2018
State-dependent Hawkes processes and their application to limit order book modelling
Maxime Morariu-Patrichi, Mikko S. Pakkanen
We study statistical aspects of state-dependent Hawkes processes, which are an extension of Hawkes processes where a self- and cross-exciting counting process and a state process a…
math.PR2018★ 3 cited
On the weak-hash metric for boundedly finite integer-valued measures
Maxime Morariu-Patrichi
It is known that the space of boundedly finite integer-valued measures on a complete separable metric space becomes itself a complete separable metric space when endowed with the w…
math.PR2017★ 6 cited
Hybrid marked point processes: characterisation, existence and uniqueness
Maxime Morariu-Patrichi, Mikko S. Pakkanen
We introduce a class of hybrid marked point processes, which encompasses and extends continuous-time Markov chains and Hawkes processes. While this flexible class amalgamates such…