Webinaire de mathématiques actuarielles et financières: «Hawkes Graphs: the analysis of large multitype event streams»
Conférencier / Speaker: Paul Embrechts (Risklab at ETH Zurich)
Résumé / Abstract: In this talk I introduce the Hawkes skeleton and the Hawkes graph. These objects summarize the branching structure of a multivariate Hawkes point process in a compact, yet meaningful way. It is shown how the graph view may be used for the specification and estimation of Hawkes models from large, multitype event streams. A simulation study confirms that the novel procedure works as desired. Special attention is paid to computational issues in the implementation. This makes the results applicable to high-dimensional event-stream data, such as dozens of event streams and thousands of events per component. An example from high-frequency finance is discussed. The talk is based on joint work with Matthias Kirchner and is published as: Embrechts, P., Kirchner, M. (2018): Hawkes Graphs. Theory of Probability and Its Applications 62(1), 132-156.
Lien Zoom / Zoom link: uqam.zoom.us/j/92368464782