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Hybrid Marked Point Processes: Characterization, Existence and Uniqueness

Maxime Morariu-Patrichi & Mikko S. Pakkanen

Market Microstructure and Liquidity2018https://doi.org/10.1142/s2382626619500072article
ABDC B
Weight
0.43

What the paper says

In this paper, 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 existing processes, it also contains novel processes with complex dynamics. These processes are defined implicitly via their intensity and are endowed with a state process that interacts with past-dependent events. The key example we entertain is an extension of a Hawkes process, a state-dependent Hawkes process interacting with its state process. We show the existence and uniqueness of hybrid marked point processes under general assumptions, extending the results of Massoulié (1998) on interacting point processes.

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https://doi.org/https://doi.org/10.1142/s2382626619500072

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@article{maxime2018,
  title        = {{Hybrid Marked Point Processes: Characterization, Existence and Uniqueness}},
  author       = {Maxime Morariu-Patrichi & Mikko S. Pakkanen},
  journal      = {Market Microstructure and Liquidity},
  year         = {2018},
  doi          = {https://doi.org/https://doi.org/10.1142/s2382626619500072},
}

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Hybrid Marked Point Processes: Characterization, Existence and Uniqueness

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Evidence weight

0.43

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.22 × 0.4 = 0.09
M · momentum0.80 × 0.15 = 0.12
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.