Download or read book The Elements of Hawkes Processes written by Patrick J. Laub and published by Springer Nature. This book was released on 2022-01-03 with total page 134 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hawkes processes are studied and used in a wide range of disciplines: mathematics, social sciences, and earthquake modelling, to name a few. This book presents a selective coverage of the core and recent topics in the broad field of Hawkes processes. It consists of three parts. Parts I and II summarise and provide an overview of core theory (including key simulation methods) and inference methods, complemented by a selection of recent research developments and applications. Part III is devoted to case studies in seismology and finance that connect the core theory and inference methods to practical scenarios. This book is designed primarily for applied probabilists, statisticians, and machine learners. However, the mathematical prerequisites have been kept to a minimum so that the content will also be of interest to undergraduates in advanced mathematics and statistics, as well as machine learning practitioners. Knowledge of matrix theory with basics of probability theory, including Poisson processes, is considered a prerequisite. Colour-blind-friendly illustrations are included.
Download or read book Limit Order Books written by Frédéric Abergel and published by Cambridge University Press. This book was released on 2016-05-09 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt: A limit order book is essentially a file on a computer that contains all orders sent to the market, along with their characteristics such as the sign of the order, price, quantity and a timestamp. The majority of organized electronic markets rely on limit order books to store the list of interests of market participants on their central computer. A limit order book contains all the information available on a specific market and it reflects the way the market moves under the influence of its participants. This book discusses several models of limit order books. It begins by discussing the data to assess their empirical properties, and then moves on to mathematical models in order to reproduce the observed properties. Finally, the book presents a framework for numerical simulations. It also covers important modelling techniques including agent-based modelling, and advanced modelling of limit order books based on Hawkes processes. The book also provides in-depth coverage of simulation techniques and introduces general, flexible, open source library concepts useful to readers studying trading strategies in order-driven markets.
Download or read book Lectures on the Poisson Process written by Günter Last and published by Cambridge University Press. This book was released on 2017-10-26 with total page 315 pages. Available in PDF, EPUB and Kindle. Book excerpt: A modern introduction to the Poisson process, with general point processes and random measures, and applications to stochastic geometry.
Download or read book Hawkes Harbor written by S. E. Hinton and published by Macmillan. This book was released on 2010-04-27 with total page 306 pages. Available in PDF, EPUB and Kindle. Book excerpt: The legendary author of The Outsiders returns with her first new novel in more than fifteen years! An orphan and a bastard, Jamie grew up tough enough to handle almost anything. He survived foreign prisons, smugglers, pirates, gunrunners, and shark attacks. But what he finds in the quote town of Hawkes Harbor, Delaware, was enough to drive him almost insane—and change his life forever. At the Publisher's request, this title is being sold without Digital Rights Management Software (DRM) applied.
Download or read book A Bright Ray of Darkness written by Ethan Hawke and published by Knopf. This book was released on 2021 with total page 257 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This is a Borzoi book published by Alfred A. Knopf"--Title page verso.
Download or read book Studies in the Theory of Random Processes written by A. V. Skorokhod and published by Courier Corporation. This book was released on 2014-07-28 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt: Three-part treatment introduces basics plus theory of stochastic differential equations and various limit theorems connected with convergence of sequence of Markov chains to Markov process with continuous time. 1965 edition.
Download or read book An Introduction to the Theory of Point Processes written by D.J. Daley and published by Springer Science & Business Media. This book was released on 2006-04-10 with total page 487 pages. Available in PDF, EPUB and Kindle. Book excerpt: Point processes and random measures find wide applicability in telecommunications, earthquakes, image analysis, spatial point patterns, and stereology, to name but a few areas. The authors have made a major reshaping of their work in their first edition of 1988 and now present their Introduction to the Theory of Point Processes in two volumes with sub-titles Elementary Theory and Models and General Theory and Structure. Volume One contains the introductory chapters from the first edition, together with an informal treatment of some of the later material intended to make it more accessible to readers primarily interested in models and applications. The main new material in this volume relates to marked point processes and to processes evolving in time, where the conditional intensity methodology provides a basis for model building, inference, and prediction. There are abundant examples whose purpose is both didactic and to illustrate further applications of the ideas and models that are the main substance of the text.
Download or read book Solving the Wiener Hopf Equation written by David Arthur Shnidman and published by . This book was released on 1965 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Wiener-Hopf equation is briefly derived and the method of solving, which is believed easiest to use, is presented. The solution is then specialized for the case where the message and input spectral densities are rational functions.
Download or read book Advances in Knowledge Discovery and Data Mining written by Hady W. Lauw and published by Springer. This book was released on 2020-05-09 with total page 886 pages. Available in PDF, EPUB and Kindle. Book excerpt: The two-volume set LNAI 12084 and 12085 constitutes the thoroughly refereed proceedings of the 24th Pacific-Asia Conference on Knowledge Discovery and Data Mining, PAKDD 2020, which was due to be held in Singapore, in May 2020. The conference was held virtually due to the COVID-19 pandemic. The 135 full papers presented were carefully reviewed and selected from 628 submissions. The papers present new ideas, original research results, and practical development experiences from all KDD related areas, including data mining, data warehousing, machine learning, artificial intelligence, databases, statistics, knowledge engineering, visualization, decision-making systems, and the emerging applications. They are organized in the following topical sections: recommender systems; classification; clustering; mining social networks; representation learning and embedding; mining behavioral data; deep learning; feature extraction and selection; human, domain, organizational and social factors in data mining; mining sequential data; mining imbalanced data; association; privacy and security; supervised learning; novel algorithms; mining multi-media/multi-dimensional data; application; mining graph and network data; anomaly detection and analytics; mining spatial, temporal, unstructured and semi-structured data; sentiment analysis; statistical/graphical model; multi-source/distributed/parallel/cloud computing.
Download or read book Introduction to Probability Models written by Sheldon M. Ross and published by Academic Press. This book was released on 2006-12-11 with total page 801 pages. Available in PDF, EPUB and Kindle. Book excerpt: Introduction to Probability Models, Tenth Edition, provides an introduction to elementary probability theory and stochastic processes. There are two approaches to the study of probability theory. One is heuristic and nonrigorous, and attempts to develop in students an intuitive feel for the subject that enables him or her to think probabilistically. The other approach attempts a rigorous development of probability by using the tools of measure theory. The first approach is employed in this text. The book begins by introducing basic concepts of probability theory, such as the random variable, conditional probability, and conditional expectation. This is followed by discussions of stochastic processes, including Markov chains and Poison processes. The remaining chapters cover queuing, reliability theory, Brownian motion, and simulation. Many examples are worked out throughout the text, along with exercises to be solved by students. This book will be particularly useful to those interested in learning how probability theory can be applied to the study of phenomena in fields such as engineering, computer science, management science, the physical and social sciences, and operations research. Ideally, this text would be used in a one-year course in probability models, or a one-semester course in introductory probability theory or a course in elementary stochastic processes. New to this Edition: 65% new chapter material including coverage of finite capacity queues, insurance risk models and Markov chains Contains compulsory material for new Exam 3 of the Society of Actuaries containing several sections in the new exams Updated data, and a list of commonly used notations and equations, a robust ancillary package, including a ISM, SSM, and test bank Includes SPSS PASW Modeler and SAS JMP software packages which are widely used in the field Hallmark features: Superior writing style Excellent exercises and examples covering the wide breadth of coverage of probability topics Real-world applications in engineering, science, business and economics
Download or read book Cell Level Healing written by Joyce Whiteley Hawkes and published by Simon and Schuster. This book was released on 2011-06-07 with total page 146 pages. Available in PDF, EPUB and Kindle. Book excerpt: An internationally renowned biophysicist and practitioner of traditional Eastern healing methods, Dr. Hawkes shows readers how they can repair and renew their bodies at the cellular level.
Download or read book Filtering and Parameter Estimation for Partially Observed Generalized Hawkes Processes written by Anca Patricia Vacarescu and published by Stanford University. This book was released on 2011 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt: We consider the nonlinear filtering problem for partially observed Generalized Hawkes Processes, which can be applied in the context of portfolio credit risk. The problem belongs to the larger class of hidden Markov models, where the counting process is observed at discrete points in time and the observations are sparse, while the intensity driving process in unobservable. We construct the conditional distribution of the process given the information filtration and we discuss the analytical and numerical properties of the corresponding filters. In particular, we study the sensitivity of the filters with respect to the parameters of the model, and we obtain a monotonicity result with respect to the jump and the volatility terms driving the intensity. Using the scaled process, we provide necessary and sufficient conditions for the frequency of time observations in terms of the parameters of the model, to ensure a good performance of the filter. We also address the problem of parameter estimation for the Generalized Hawkes Process in the framework of the EM algorithm, and we analyze the effect of the self-exciting feature of our process on the asymptotic and numerical properties of the estimators.
Download or read book From Probability to Finance written by Ying Jiao and published by Springer. This book was released on 2021-03-21 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents a collection of lecture notes of mini-courses taught at BICMR Summer School of Financial Mathematics, from May 29 to June 9, 2017. Each chapter is self-contained and corresponds to one mini-course which deals with a distinguished topic, such as branching processes, enlargement of filtrations, Hawkes processes, copula models and valuation adjustment analysis, whereas the global topics cover a wide range of advanced subjects in financial mathematics, from both theoretical and practical points of view. The authors include world-leading specialists in the domain and also young active researchers. This book will be helpful for students and those who work on probability and financial mathematics.
Download or read book Random Processes for Engineers written by Bruce Hajek and published by Cambridge University Press. This book was released on 2015-03-12 with total page 429 pages. Available in PDF, EPUB and Kindle. Book excerpt: This engaging introduction to random processes provides students with the critical tools needed to design and evaluate engineering systems that must operate reliably in uncertain environments. A brief review of probability theory and real analysis of deterministic functions sets the stage for understanding random processes, whilst the underlying measure theoretic notions are explained in an intuitive, straightforward style. Students will learn to manage the complexity of randomness through the use of simple classes of random processes, statistical means and correlations, asymptotic analysis, sampling, and effective algorithms. Key topics covered include: • Calculus of random processes in linear systems • Kalman and Wiener filtering • Hidden Markov models for statistical inference • The estimation maximization (EM) algorithm • An introduction to martingales and concentration inequalities. Understanding of the key concepts is reinforced through over 100 worked examples and 300 thoroughly tested homework problems (half of which are solved in detail at the end of the book).
Download or read book Me All Alone at the End of the World written by M. T. Anderson and published by Candlewick Press. This book was released on 2005 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: A boy enjoys living quietly by himself at The End of the World until Mr. Constantine Shimmer, "Professional Visionary," builds an inn and an amusement park, demanding that tourists come and have "Fun Without End!" Jr Lib Guild.
Download or read book Handbook of Financial Time Series written by Torben Gustav Andersen and published by Springer Science & Business Media. This book was released on 2009-04-21 with total page 1045 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.
Download or read book Rules for a Knight written by Ethan Hawke and published by Knopf. This book was released on 2015-11-10 with total page 195 pages. Available in PDF, EPUB and Kindle. Book excerpt: An unforgettable fable about a father's journey and a timeless guide to life's many questions—from Ethan Hawke, four-time Academy Award nominee, twice for writing and twice for acting. A knight, fearing he may not return from battle, writes a letter to his children in an attempt to leave a record of all he knows. In a series of ruminations on solitude, humility, forgiveness, honesty, courage, grace, pride, and patience, he draws on the ancient teachings of Eastern and Western philosophy, and on the great spiritual and political writings of our time. His intent: to give his children a compass for a journey they will have to make alone, a short guide to what gives life meaning and beauty.
