CHRONOS is a three-layer system for evolving data marketplaces that applies neural-ODE temporal decay, changepoint-aware Shapley valuation, and EXP3-IX private coordination to achieve 0.937 recall, 2.74 qps, 161 ms latency, and epsilon 4.25 at delta 10^-6.
Hawkes processes in finance
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
abstract
In this paper we propose an overview of the recent academic literature devoted to the applications of Hawkes processes in finance. Hawkes processes constitute a particular class of multivariate point processes that has become very popular in empirical high frequency finance this last decade. After a reminder of the main definitions and properties that characterize Hawkes processes, we review their main empirical applications to address many different problems in high frequency finance. Because of their great flexibility and versatility, we show that they have been successfully involved in issues as diverse as estimating the volatility at the level of transaction data, estimating the market stability, accounting for systemic risk contagion, devising optimal execution strategies or capturing the dynamics of the full order book.
fields
cs.DB 1years
2026 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
CHRONOS: Temporally-Aware Multi-Agent Coordination for Evolving Data Marketplaces
CHRONOS is a three-layer system for evolving data marketplaces that applies neural-ODE temporal decay, changepoint-aware Shapley valuation, and EXP3-IX private coordination to achieve 0.937 recall, 2.74 qps, 161 ms latency, and epsilon 4.25 at delta 10^-6.