2 papers
stat.ME2026
Common Signals, Spurious Cross-Excitation, and Identification in Multivariate Hawkes Processes
Jiwon Jung, Kiseop Lee
Multivariate Hawkes models are widely used to measure endogenous interactions in event data, but latent common signals can generate apparent excitation even without structural inte…
q-fin.CP2024
Attention-Based Reading, Highlighting, and Forecasting of the Limit Order Book
Jiwon Jung, Kiseop Lee
Managing high-frequency data in a limit order book (LOB) is a complex task that often exceeds the capabilities of conventional time-series forecasting models. Accurately predicting…