We investigate the laws governing people´s decisions and interactions by studying the collective dynamics of a well-documented social activity for which there exist ample records of the perceived quality: the attendance to movie theaters in the US. We picture the flows of attendance as impulses...

We introduce the <I>Hawkes process with renewal immigration</I> and make its statistical estimation possible with two <I>Expectation Maximization</I> (EM) algorithms. The standard <I>Hawkes process</I> introduces <I>immigrant points</I> via a Poisson process, and each immigrant has a subsequent cluster of associated...</i></i></i></i>

The endo-exo problem lies at the heart of statistical identi fication in many fields of science, and is often plagued by spurious strong-and-long memory due to improper treatment of trends, shocks and shifts in the data. A class of models that has shown to be useful in discerning exogenous and...

The statistical estimate of the branching ratio η of the Hawkes model, when fitted to windows of mid-price changes, has been reported to approach criticality (η = 1) as the fitting window becomes large. In this study -- using price changes from the EUR/USD currency pair traded on the...

We build a macroeconomic model for Switzerland, the Euro Area, and the USA that drives the dynamics of several asset classes and the liabilities of a representative Swiss (defined-contribution) pension fund. This encompassing approach allows us to generate correlations between returns on assets...