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Exact simulation of Hawkes process with exponentially decaying intensity

Dublin Core		PKP Metadata Items	Metadata for this Document
1.	Title	Title of document	Exact simulation of Hawkes process with exponentially decaying intensity
2.	Creator	Author's name, affiliation, country	Angelos Dassios; London School of Economics; United Kingdom
2.	Creator	Author's name, affiliation, country	Hongbiao Zhao; Xiamen University; China
3.	Subject	Discipline(s)
3.	Subject	Keyword(s)	Contagion risk; Stochastic intensity model; Self-exciting point process; Hawkes process; Hawkes process with exponentially decaying intensity; Exact simulation; Monte Carlo simulation.
3.	Subject	Subject classification	Primary: 60G55; Secondary: 60H35; 65C05; 60G17
4.	Description	Abstract	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.
5.	Publisher	Organizing agency, location
6.	Contributor	Sponsor(s)
7.	Date	(YYYY-MM-DD)	2013-07-15
8.	Type	Status & genre	Peer-reviewed Article
8.	Type	Type
9.	Format	File format	PDF
10.	Identifier	Uniform Resource Identifier	http://ecp.ejpecp.org/article/view/2717
10.	Identifier	Digital Object Identifier	10.1214/ECP.v18-2717
11.	Source	Journal/conference title; vol., no. (year)	Electronic Communications in Probability; Vol 18
12.	Language	English=en	en
14.	Coverage	Geo-spatial location, chronological period, research sample (gender, age, etc.)
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