2 papers
stat.ME2025
Semiparametric estimation for multivariate Hawkes processes using dependent Dirichlet processes: An application to order flow data in financial markets
Alex Ziyu Jiang, Abel Rodriguez
The order flow in high-frequency financial markets has been of particular research interest in recent years, as it provides insights into trading and order execution strategies and…
stat.CO2023
Improvements on Scalable Stochastic Bayesian Inference Methods for Multivariate Hawkes Process
Alex Ziyu Jiang, Abel Rodríguez
Multivariate Hawkes Processes (MHPs) are a class of point processes that can account for complex temporal dynamics among event sequences. In this work, we study the accuracy and co…