Statistical Models Commons^™

Modeling Multivariate Hopfield-Transformer Hawkes Process: Application To Sovereign Credit Default Swaps, Mohsen Bahremani

Theses and Dissertations (Comprehensive)

Hawkes process was evolved so that the past events contribute to the occurrence time of future events by self-exciting or mutually exciting. However, many real-world data do not follow the Hawkes process's assumptions (i.e., positivity, additivity, and exponential decay) and become more complex to be modeled by the traditional Hawkes processes, so the neural Hawkes process was developed to tackle the challenges. However, Recurrent Neural Networks (RNN) fail to capture long-term dependencies among multiple point processes, and Transformer Hawkes processes only address temporal characteristics of Hawkes processes. In this thesis, we proposed a combination of neural networks and Hawkes processes …