The Elements Of Hawkes Processes
Download The Elements Of Hawkes Processes PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get The Elements Of Hawkes Processes book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages.
The Elements of Hawkes Processes
Hawkes processes are studied and used in a wide range of disciplines: mathematics, social sciences, and earthquake modelling, to name a few. This book presents a selective coverage of the core and recent topics in the broad field of Hawkes processes. It consists of three parts. Parts I and II summarise and provide an overview of core theory (including key simulation methods) and inference methods, complemented by a selection of recent research developments and applications. Part III is devoted to case studies in seismology and finance that connect the core theory and inference methods to practical scenarios. This book is designed primarily for applied probabilists, statisticians, and machine learners. However, the mathematical prerequisites have been kept to a minimum so that the content will also be of interest to undergraduates in advanced mathematics and statistics, as well as machine learning practitioners. Knowledge of matrix theory with basics of probability theory, including Poisson processes, is considered a prerequisite. Colour-blind-friendly illustrations are included.
Lectures on the Poisson Process
Author: Günter Last
language: en
Publisher: Cambridge University Press
Release Date: 2017-10-26
A modern introduction to the Poisson process, with general point processes and random measures, and applications to stochastic geometry.
Limit Order Books
Author: Frédéric Abergel
language: en
Publisher: Cambridge University Press
Release Date: 2016-05-09
This text presents different models of limit order books and introduces a flexible open-source library, useful to those studying trading strategies.