arXiv research

The study examines Hawkes processes and their long-term behavior.

The paper proves a Hawking-type singularity theorem using worldvolume quantum strong energy inequalities.

The paper develops Hawkes-based models for LOB and applies them to European, spread, and basket option pricing.

Proves Hawking's theorem for less smooth spacetime metrics.

The Penrose theorem and Hawking's topology theorem are extended to weighted spacetimes.

The Hawking energy is nonnegative and rigid on area-constrained surfaces in general relativity.

A key result in four dimensional black hole physics, since the early 1970s, is Hawking's topology theorem asserting that the cross-sections of an "apparent horizon", separating the black hole region from the rest of the spacetime, are topologically two-spheres. Later, during the 1990s, by applying a variant of Hawking'…

The paper extends Hawking's singularity theorem to metrics with Hölder continuity and bounded curvature.

We provide a detailed proof of Hawking's singularity theorem in the regularity class $C^{1,1}$, i.e., for spacetime metrics possessing locally Lipschitz continuous first derivatives. The proof uses recent results in $C^{1,1}$-causality theory and is based on regularisation techniques adapted to the causal structure.

In this paper, we study various new Hawkes processes. Specifically, we construct general compound Hawkes processes and investigate their properties in limit order books. With regards to these general compound Hawkes processes, we prove a Law of Large Numbers (LLN) and a Functional Central Limit Theorems (FCLT) for seve…

Study differentially private methods for learning Hawkes processes.

Study of spacetimes in cosmology without symmetry assumptions.

The paper establishes a central limit theorem for estimating the influence parameter in a partially observed Hawkes process system.

We show that the Hawking--Penrose singularity theorem, and the generalisation of this theorem due to Galloway and Senovilla, continue to hold for Lorentzian metrics that are of $C^{1, 1}$-regularity. We formulate appropriate weak versions of the strong energy condition and genericity condition for $C^{1,1}$-metrics, an…

3D metrics get scalar curvature bounds via IMCF.

Paper develops efficient estimator for Hawkes processes using representer theorem.

In this paper, we introduce a new model for the risk process based on general compound Hawkes process (GCHP) for the arrival of claims. We call it risk model based on general compound Hawkes process (RMGCHP). The Law of Large Numbers (LLN) and the Functional Central Limit Theorem (FCLT) are proved. We also study the ma…

This survey introduces synthetic timelike Ricci curvature bounds in Lorentzian spaces.

In this paper we introduce two new Hawkes processes, namely, compound and regime-switching compound Hawkes processes, to model the price processes in limit order books. We prove Law of Large Numbers and Functional Central Limit Theorems (FCLT) for both processes. The two FCLTs are applied to limit order books where we …

In this paper, we study various new Hawkes processes, namely, so-called general compound and regime-switching general compound Hawkes processes to model the price processes in the limit order books. We prove Law of Large Numbers (LLN) and Functional Central Limit Theorems (FCLT) for these processes. The latter two FCLT…

Because of their tractability and their natural interpretations in term of market quantities, Hawkes processes are nowadays widely used in high-frequency finance. However, in practice, the statistical estimation results seem to show that very often, only nearly unstable Hawkes processes are able to fit the data properl…

Hawking's theorem on the topology of black holes asserts that cross sections of the event horizon in 4-dimensional asymptotically flat stationary black hole spacetimes obeying the dominant energy condition are topologically 2-spheres. This conclusion extends to outer apparent horizons in spacetimes that are not necessa…

Researchers prove a 30-year-old cosmological conjecture about spacetime.

We consider the Hawking-Penrose singularity theorems and the Lorentzian splitting theorem under the weaker curvature condition of nonnegative Bakry-Emery-Ricci curvature $Ric_f^m$ in timelike directions. We prove that they still hold when $m$ is finite, and when $m$ is infinite, they hold under the additional assumptio…

New MGCPP model for order flow in financial markets.

New self-exciting random evolutions (SEREs) for modeling traffic and transport processes.

We consider a classical risk process with arrival of claims following a non-stationary Hawkes process. We study the asymptotic regime when the premium rate and the baseline intensity of the claims arrival process are large, and claim size is small. The main goal of the article is to establish a diffusion approximation …

In this paper, we design a nonparametric online algorithm for estimating the triggering functions of multivariate Hawkes processes. Unlike parametric estimation, where evolutionary dynamics can be exploited for fast computation of the gradient, and unlike typical function learning, where representer theorem is readily …

We develop area and volume comparison theorems for the evolution of spacelike, acausal, causally complete hypersurfaces in Lorentzian manifolds, where one has a lower bound on the Ricci tensor along timelike curves, and an upper bound on the mean curvature of the hypersurface. Using these results, we give a new proof o…

The study proves local rigidity of minimal 2-spheres in electrovacuum spacetimes.

The study proves a transverse diameter theorem for Lorentzian foliations.

Positive energy theorems for spin initial data with charge in higher dimensions.

We summarize the main ideas of General Relativity and Lorentzian geometry, leading to a proof of the simplest of the celebrated Hawking-Penrose singularity theorems. The reader is assumed to be familiar with Riemannian geometry and point set topology.

Methodology for estimating marked Hawkes processes with neural networks.

New model uses variance-Hawkes process to fit energy market returns.

Estimates nonlinear Hawkes processes using RKHSs with ReLU rectification.

Many classical results in relativity theory concerning spherically symmetric space-times have easy generalizations to warped product space-times, with a two-dimensional Lorentzian base and arbitrary dimensional Riemannian fibers. We first give a systematic presentation of the main geometric constructions, with emphasis…

A theorem transforms Lorentzian to signature-changing metrics.

We find necessary and sufficient conditions for existence of a locally isometric embedding of a vacuum space-time into a conformally-flat 5-space. We explicitly construct such embeddings for any spherically symmetric Lorentzian metric in $3+1$ dimensions as a hypersurface in $R^{4, 1}$. For the Schwarzschild metric the…

Scalar-tensor gravitation theories, such as the Brans-Dicke family of theories, are commonly partly described by a modified Einstein equation in which the Ricci tensor is replaced by the Bakry-Émery-Ricci tensor of a Lorentzian metric and scalar field. In physics this formulation is sometimes referred to as the "Jordan…

We show the existence of a Hawking vector field in a full neighborhood of a local, regular, bifurcate, non-expanding horizon embedded in a smooth Einstein-Maxwell space-time without assuming the underlying space-time is analytic. It extends one result of Friedrich, Rácz and Wald, which was limited to the interior of th…

Derives a pricing formula for VIX options using a new stochastic volatility model.

We establish volume comparison results for balls in Riemannian manifolds with $C^{1,1}$-metrics with a lower bound on the Ricci tensor and for the evolution of spacelike, acausal, causally complete hypersurfaces with an upper bound on the mean curvature in spacetimes with $C^{1,1}$-metrics with a lower bound on the tim…

We investigate the Hawking energy of small surfaces in space times without symmetry assumptions by introducing the notion of Hawking type functionals. In particular, we find that Hawking type functionals are generalized Willmore functionals which allows us to find area constrained, minimizing, immersed, haunted bubble …

The Hawkes process is a simple point process, whose intensity function depends on the entire past history and is self-exciting and has the clustering property. The Hawkes process is in general non-Markovian. The linear Hawkes process has immigration-birth representation. Based on that, Fierro et al. recently introduced…

The Gannon-Lee singularity theorems give well-known restrictions on the spatial topology of singularity-free (i.e., nonspacelike geodesically complete), globally hyperbolic spacetimes. In this paper, we revisit these classic results in the light of recent developments, especially the failure in higher dimensions of a c…

Study applies Hawkes volatility to mid-price process for real-time risk management.

It is well-know that Hawking mass is nonnegative for a stable constant mean curvature ($CMC$) sphere in three manifold of nonnegative scalar curvature. R. Bartnik proposed the rigidity problem of Hawking mass of stable $CMC$ spheres. In this paper, we show partial rigidity results of Hawking mass for stable $CMC$ spher…