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06/09/2023
Agent market orders representation through a contrastive learning approach
Due to the access to the labeled orders on the CAC40 data from Euronext,...
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07/21/2016
Uncovering Causality from Multivariate Hawkes Integrated Cumulants
We design a new nonparametric method that allows one to estimate the mat...
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01/04/2015
A generalization error bound for sparse and low-rank multivariate Hawkes processes
We consider the problem of unveiling the implicit network structure of u...
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12/24/2014