Exact simulation of Hawkes process with exponentially decaying intensity

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	Exact simulation of Hawkes process with exponentially decaying intensity
	Dassios, Angelos ; Zhao, Hongbiao ; Zhao HB(赵宏飙)
刊名	http://dx.doi.org/10.1214/ECP.v18-2717
	2013
关键词	SELF-EXCITING PROCESS POINT-PROCESSES MODELS
英文摘要	We introduce a numerically efficient simulation algorithm for Hawkes process with exponentially decaying intensity, a special case of general Hawkes process that is most widely implemented in practice. This computational method is able to exactly generate the point process and intensity process, by sampling interarrival-times directly via the underlying analytic distribution functions without numerical inverse, and hence avoids simulating intensity paths and introducing discretisation bias. Moreover, it is flexible to generate points with either stationary or non-stationary intensity, starting from any arbitrary time with any arbitrary initial intensity. It is also straightforward to implement, and can easily extend to multi-dimensional versions, for further applications in modelling contagion risk or clustering arrival of events in finance, insurance, economics and many other fields. Simulation algorithms for one dimension and multi-dimension are represented, with numerical examples of univariate and bivariate processes provided as illustrations.
语种	英语
出版者	UNIV WASHINGTON, DEPT MATHEMATICS
内容类型	期刊论文
源URL	[http://dspace.xmu.edu.cn/handle/2288/90155]
专题	经济学院－已发表论文
推荐引用方式 GB/T 7714	Dassios, Angelos,Zhao, Hongbiao,Zhao HB. Exact simulation of Hawkes process with exponentially decaying intensity[J]. http://dx.doi.org/10.1214/ECP.v18-2717,2013.
APA	Dassios, Angelos,Zhao, Hongbiao,&赵宏飙.(2013).Exact simulation of Hawkes process with exponentially decaying intensity.http://dx.doi.org/10.1214/ECP.v18-2717.
MLA	Dassios, Angelos,et al."Exact simulation of Hawkes process with exponentially decaying intensity".http://dx.doi.org/10.1214/ECP.v18-2717 (2013).