The Elements of Hawkes Processes

Hawkes processes are studied and used in various disciplines, and this book provides a selective coverage of core theory and inference methods, with case studies in seismology and finance. It is designed for applied probabilists, statisticians, and machine learners with a minimum mathematical prerequisites.

Format: Paperback / softback
Length: 133 pages
Publication date: 05 January 2023
Publisher: Springer Nature Switzerland AG

Hawkes processes find extensive applications across diverse fields, including mathematics, social sciences, and earthquake modeling. In this comprehensive volume, we delve into a selective exploration of the core and emerging topics within the broad realm of Hawkes processes. Structured into three parts, this book offers a comprehensive overview of theoretical foundations and inference methods, complemented by a selection of recent research advancements and practical applications.

Part I and II serve as a comprehensive introduction to the core theory, encompassing key simulation techniques and inference methodologies. These sections are enriched with a range of recent research developments and real-world case studies, effectively bridging the gap between theory and practice.

Part III, dedicated to case studies in seismology and finance, showcases how the core theory and inference methods are applied to practical scenarios. These case studies provide valuable insights into the real-world applications of Hawkes processes, making the content accessible to a wide audience, including applied probabilists, statisticians, machine learners, and undergraduates specializing in advanced mathematics and statistics.

While the mathematical prerequisites have been kept to a minimum to ensure accessibility to a broader audience, it is assumed that readers have a foundational understanding of matrix theory and basic probability theory, including Poisson processes. Additionally, the book features color-blind-friendly illustrations to enhance the reading experience.

This book serves as a valuable resource for practitioners seeking to leverage the power of Hawkes processes in their research and applications. It provides a comprehensive and up-to-date coverage of the field, making it an essential tool for anyone interested in understanding and applying these processes in diverse scientific and economic domains.

Weight: 238g
Dimension: 235 x 155 (mm)
ISBN-13: 9783030846411
Edition number: 1st ed. 2021