Do Financial Companies Communicate to One Another in the News? (Application of Multivariate Hawkes Graphs to Uncover Granger Causality of Financial News)

Tetereva, Anastasija

doi:10.2139/ssrn.3136330

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Multivariate Hawkes Process With Inhibition1

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2022

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“…A prominent application of Hawkes processes with inhibition can be found in neural spike trains, where the inhibition captures the period of decreased intensity after a neural spike event (Eichler et al, 2017). Moreover, such models have been successful employed in a variety of fields, such as financial applications (Lu and Abergel, 2018;Tetereva, 2018) or in adequately modelling the popular MemeTracker data set (Lemonnier and Vayatis, 2014).…”

Section: Multivariate Hawkes Process With Inhibitionmentioning

confidence: 99%

Bayesian Estimation of Multivariate Hawkes Processes with Inhibition and Sparsity

Deutsch¹,

Ross²

2022

Preprint

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Hawkes processes are point processes that model data where events occur in clusters through the self-exciting property of the intensity function. We consider a multivariate setting where multiple dimensions can influence each other with intensity function to allow for excitation and inhibition, both within and across dimensions. We discuss how such a model can be implemented and highlight challenges in the estimation procedure induced by a potentially negative intensity function.Furthermore, we introduce a new, stronger condition for stability that encompasses current approaches established in the literature. Finally, we examine the total number of offsprings to reparametrise the model and subsequently use Normal and sparsity-inducing priors in a Bayesian estimation procedure on simulated data.

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