From the 1 of 5 linked papers with an AI index.
5 papers
Rainfall is rough
Thomas Deschatre, Marc Hoffmann, Mathieu Rosenbaum
The paper introduces a rainfall model that combines high‑frequency and long‑term data using Hawkes processes with power‑law kernels, showing that aggregated rainfall behaves like a…
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,…
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…
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…