Hybrid marked point processes: characterisation, existence and uniqueness
File(s)hybrid_marked_point_processes_MML_v9.pdf (708.91 KB)
Working paper
Author(s)
Morariu-Patrichi, Maxime
Pakkanen, Mikko S
Type
Working Paper
Abstract
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 Massouli\'e (1998) on interacting
point processes.
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 Massouli\'e (1998) on interacting
point processes.
Date Issued
2018-10-15
Date Acceptance
2019-09-17
Citation
Market Microstructure and Liquidity, 2018
Publisher
arxiv
Journal / Book Title
Market Microstructure and Liquidity
Copyright Statement
© 2018 The Authors.
Identifier
http://arxiv.org/abs/1707.06970v6
Subjects
math.PR
math.PR
q-fin.TR
60G55, 60H20, 60K35, 91G99
Notes
v6: introduction updated with reference to application of state-dependent Hawkes processes
Publication Status
Published