On Hawkes Processes with Infinite Mean Intensity - Archive ouverte HAL
Article Dans Une Revue Physical Review E : Statistical, Nonlinear, and Soft Matter Physics Année : 2022

On Hawkes Processes with Infinite Mean Intensity

Michael Benzaquen
Jean-Philippe Bouchaud

Résumé

The stability condition for Hawkes processes and their non-linear extensions usually relies on the condition that the mean intensity is a finite constant. It follows that the total endogeneity ratio needs to be strictly smaller than unity. In the present note we argue that it is possible to have a total endogeneity ratio greater than unity without rendering the process unstable. In particular, we show that, provided the endogeneity ratio of the linear Hawkes component is smaller than unity, Quadratic Hawkes processes are always stationary, although with infinite mean intensity when the total endogenity ratio exceeds one. This results from a subtle compensation between the inhibiting realisations (mean-reversion) and their exciting counterparts (trends).
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Dates et versions

hal-03518579 , version 1 (12-10-2023)

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Cecilia Aubrun, Michael Benzaquen, Jean-Philippe Bouchaud. On Hawkes Processes with Infinite Mean Intensity. Physical Review E : Statistical, Nonlinear, and Soft Matter Physics, 2022, 105 (3), ⟨10.1103/PhysRevE.105.L032101⟩. ⟨hal-03518579⟩
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