Self-exciting point processes with applications in finance and medicine

Gerencsér, László and Matias, Catherine and Vágó, Zsuzsa and Torma, Balázs and Weiss, Béla (2008) Self-exciting point processes with applications in finance and medicine. In: Eighteenth International Symposium on Mathematical Theory of Networks and Systems (MTNS2008), Virginia Tech, Blacksburg, Virginia, USA, July 28-August 1, 2008.

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Stochastic systems driven by point processes arise in many applications. The present investigations were motivated by two application areas. First, stochastic systems driven partially by point processes are widely used in financial mathematics, in particular to study credit risk processes on bond markets. A second application area is the analysis of EEG signals, in particular those of epilepsy patients. It is hoped that our analysis contributes to a better understanding of the hidden pathological background of seizures dynamics. In both cases self-exiting point process, also called Hawkes-processes play a crucial role. Self-excitation is due to the fact that there is a positive correlation between the intensity and the event process. A recursive maximum-likelihood estimation will be developed, and tested both on simulated and real data, together with the outline of a possible convergence proof.

Item Type: Conference or Workshop Item (Paper)
Uncontrolled Keywords: Hawkes-processes; recursive maximum likelihood estimation.
Subjects: Q Science > QA Mathematics and Computer Science > QA75 Electronic computers. Computer science / számítástechnika, számítógéptudomány
Depositing User: EPrints Admin
Date Deposited: 11 Dec 2012 15:31
Last Modified: 11 Dec 2012 15:31

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