Séminaire

Statistics for Hawkes process seminar


Day, hour and place

Tuesday at 11:00, Jussieu, Salle Emile Borel, 15-26 201


Contact(s)


Previous talks


Year 2025

Statistics for Hawkes process seminar
Tuesday April 29, 2025, 9AM, Jussieu, Salle Paul Lévy, 16-26 deuxième étage
Séance Exposés De Doctorants 9 exposants
Accueil café à partir de 9h, 9h30-13h pour les exposés puis buffet déjeuner jusqu'à 14h

Statistics for Hawkes process seminar
Tuesday March 11, 2025, 11AM, Jussieu, Salle Emile Borel, 15-16 201
Cécilia Mancini (Università di Verona) Warnings about Future Jumps: Properties of the Exponential Hawkes Model

We analyze jump risks in financial asset prices modeled by Ito semimartingales with an exponential Hawkes process as the jump counter.

First, using little information, we estimate the probability that an observed jump cluster is not yet exhausted. Second, we make explicit the conditional density of consecutive jump durations and prove that durations stochastically increase. Third, we provide bounds for jump probabilities in consecutive time intervals.

Application to 5-minute US returns shows that cluster depletion probabilities strongly correlate with the expected yearly jump count, and improve forecasts of jumps and realized variance.

Joint work with Rachele Foschi, University of Pisa, and Francesca Lilla, Bank of Italy

Zoom https://cnrs.zoom.us/j/93013031316?pwd=iM0AOy96c52bTkLDu6VaOrO6N3lPaP.1

ID de réunion: 930 1303 1316

Code secret: KkAg4d

Statistics for Hawkes process seminar
Tuesday February 18, 2025, 11AM, Jussieu, Salle Emile Borel, 15-26 201
Antoine Lotz (Université Dauphine) A sparsity test for multivariate Hawkes processes

Statistics for Hawkes process seminar
Tuesday January 14, 2025, 11AM, Jussieu, Salle Emile Borel, 15-26 201
Virginie Loison (INRIA Saclay (Models and Inference for Neuroimaging Data)) UNHaP: Unmixing Noise from Hawkes Process to Model Physiological Events


Year 2024

Statistics for Hawkes process seminar
Tuesday December 10, 2024, 11AM, Jussieu, Salle Emile Borel, 15-26 201
Manon Costa (IMT) Some limit theorem for inhibited Hawkes processes with finite memory.

In this talk, I will present some recent result on the long-time behaviour of inhibited Hawkes processes both in continuous and discrete time. In particular, we will stress the complex role of inhibition in the stability of Hawkes processes.

Statistics for Hawkes process seminar
Tuesday November 12, 2024, 2PM, Jussieu, Salle Emile Borel, 15-26 201
Stefano Spaziani (Université de Nice) Heterogenous multiscale multivariate autoregressive model, sparse estimation and application in neuroscience

Statistics for Hawkes process seminar
Tuesday October 15, 2024, 11AM, Jussieu, Salle Emile Borel, 15-26 201
Fabien Baeriswyl (SU & Lausanne) To be announced.

Statistics for Hawkes process seminar
Tuesday September 24, 2024, 11AM, Jussieu, Salle Emile Borel, 15-26 201
Miguel Martinez Herrera (LPSM, SU) Noisy Hawkes process inference
https://sites.google.com/site/charlottedionblanc/home/resarch/emergence-hawkes