Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models

A continuous time econometric modelling framework for multivariate financial market event (or 'transactions') data is developed in which the model is specified via the vector conditional intensity. This has the advantage that the conditioning information set is updated continuously in time as new information arrives. Generalised Hawkes (g-Hawkes) models are introduced that are sufficiently flexible to incorporate `inhibitory' events and dependence between trading days. Novel omnibus specification tests for parametric models based on a multivariate random time change theorem are proposed. A computationally efficient thinning algorithm for simulation of g-Hawkes processes is also developed. A continuous time, bivariate point process model of the timing of trades and mid-quote changes is presented for a New York Stock Exchange stock and the empirical findings are related to the market microstructure literature. The two-way interaction of trades and quote changes is found to be important empirically. Furthermore, the model delivers a continuous record of instantaneous volatility that is conditional on the timing of trades and quote changes.Point process, conditional intensity, Hawkes process, specification test, random time change, transactions data, market microstructure.

Modelling Financial High Frequency Data Using Point Processes

In this paper, we give an overview of the state-of-the-art in the econometric literature on the modeling of so-called financial point processes. The latter are associated with the random arrival of specific financial trading events, such as transactions, quote updates, limit orders or price changes observable based on financial high-frequency data. After discussing fundamental statistical concepts of point process theory, we review durationbased and intensity-based models of financial point processes. Whereas duration-based approaches are mostly preferable for univariate time series, intensity-based models provide powerful frameworks to model multivariate point processes in continuous time. We illustrate the most important properties of the individual models and discuss major empirical applications.Financial point processes, dynamic duration models, dynamic intensity models.

Modelling Financial High Frequency Data Using Point Processes

In this chapter written for a forthcoming Handbook of Financial Time Series to be published by Springer-Verlag, we review the econometric literature on dynamic duration and intensity processes applied to high frequency financial data, which was boosted by the work of Engle and Russell (1997) on autoregressive duration modelsDuration, Intensity, Point process, High frequency data, ACD models

Experimental Results and Evaluation of SmartBox Stimulation Device in a P2P E-learning System

In this paper, we present the experimental results and evaluation of the SmartBox stimulation device in P2P e-learning system which is based on JXTA-Overlay. We also show the design and implementation of the SmartBox environment that is used for stimulating the learners motivation to increase the learning efficiency. The SmartBox is integrated with our P2P system as a useful tool for monitoring and controlling learners¿ activity. We found by experimental results that the SmartBox is an effective way to increase the learner¿s concentration. We also investigated the relation between learner¿s body movement, concentration, and amount of study. From the experimental results, we conclude that the use of SmartBox is an effective way to stimulate the learners in order to continue studying while maintaining the concentration.En aquest article es presenten els resultats experimentals i l'avaluació del dispositiu d'estimulació SmartBox en un sistema d'aprenentatge en línia P2P que es basa en la superposició de JXTA. També es mostra el disseny i implementació de l'ambient de l'SmartBox que s'utilitza per a estimular la motivació dels estudiants per augmentar l'eficiència en l'aprenentatge. L'SmartBox s'integra amb el nostre sistema de P2P com una eina útil per al monitoratge i per controlar l'activitat dels alumnes. Pels resultats experimentals trobem que l'SmartBox és una forma efectiva d'augmentar la concentració de l'alumne. També es va investigar la relació entre el moviment del cos de l'alumne, la concentració i la quantitat d'estudis. Dels resultats experimentals es conclou que l'ús de l'SmartBox és una manera efectiva d'estimular els estudiants per tal que continuïn els seus estudis mentre es manté la seva concentració.En este artículo se presentan los resultados experimentales y la evaluación del dispositivo de estimulación SmartBox en un sistema de aprendizaje en línea P2P que se basa en la superposición de JXTA. También se muestra el diseño e implementación del ambiente del SmartBox que se utiliza para estimular la motivación de los estudiantes para aumentar la eficiencia en el aprendizaje. El SmartBox se integra con nuestro sistema de P2P como una herramienta útil para la monitorización y para controlar la actividad de los alumnos. Por los resultados experimentales encontramos que la SmartBox es una forma efectiva de aumentar la concentración del alumno. También se investigó la relación entre el movimiento del cuerpo del alumno, la concentración y la cantidad de estudios. De los resultados experimentales se concluye que el uso del SmartBox es una manera efectiva de estimular a los estudiantes para que continúen sus estudios mientras se mantiene su concentración

Network awareness in P2P-TV applications

Abstract. The increasing popularity of applications for video-streaming based on P2P paradigm (P2P-TV) is raising the interest of both broadcasters and network operators. The former see a promising technology to reduce the cost of streaming content over the Internet, while offering a world-wide service. The latter instead fear that the traffic offered by these applications can grow without control, affecting other services, and possibly causing network congestion and collapse. The “Network-Aware P2P-TV Application over Wise Networks” FP7 project aims at studying and developing a novel P2P-TV application offering the chance to broadcast high definition video to broadcasters and to carefully manage the traffic offered by peers to the network, therefore avoiding worries to Internet providers about network overload. In such context, we design a simulator to evaluate performance of different P2P-TV solutions, to compare them both considering end-users ’ and network providers ’ perspectives, such as quality of service perceived by subscribers and link utilization. In this paper, we provide some results that show how effective can be a network aware P2P-TV system.

Hybrid marked point processes: characterisation, existence and uniqueness

We introduce a class of hybrid marked point processes, which encompasses and extends continuous-time Markov chains and Hawkes processes. While this flexible class amalgamates such existing processes, it also contains novel processes with complex dynamics. These processes are defined implicitly via their intensity and are endowed with a state process that interacts with past-dependent events. The key example we entertain is an extension of a Hawkes process, a state-dependent Hawkes process interacting with its state process. We show the existence and uniqueness of hybrid marked point processes under general assumptions, extending the results of Massouli\'e (1998) on interacting point processes.Comment: v6: introduction updated with reference to application of state-dependent Hawkes processe