This paper studies the performance and key structural properties of the optimum location-based relay selection policy for wireless networks consisting of homogeneous Poisson distributed relays. The distribution of the channel quality indicator at the optimum relay location is obtained. A threshold-based distributed selective feedback policy is proposed for the discovery of the optimum relay location with finite average feedback load. It is established that the total number of relays feeding back obeys to a Poisson distribution and an analytical expression for the average feedback load is derived. The analytical expressions for the average rate and outage probability with and without selective feedback are also obtained for general path-loss models. It is shown that the optimum location-based relay selection policy outperforms other common relay selection strategies notably. It is also shown that utilizing location information from a small number of relays is enough to achieve almost the same performance with the infinite feedback load case. As generalizations, full-duplex relays, isotropic Poisson point processes, and heterogeneous source-to-relay and relay-to-destination links are also studied.
The support for aerial users has become the focus of recent 3GPP standardizations of 5G, due to their high maneuverability and flexibility for on-demand deployment. In this paper, probabilistic caching is studied for ultra-dense small-cell networks with terrestrial and aerial users, where a dynamic on-off architecture is adopted under a sophisticated path loss model incorporating both line-of-sight and non-line-of-sight transmissions. Generally, this paper focuses on the successful download probability (SDP) of user equipments (UEs) from small-cell base stations (SBSs) that cache the requested files under various caching strategies. To be more specific, the SDP is first analyzed using stochastic geometry theory, by considering the distribution of such two-tier UEs and SBSs as Homogeneous Poisson Point Processes. Second, an optimized caching strategy (OCS) is proposed to maximize the average SDP. Third, the performance limits of the average SDP are developed for the popular caching strategy (PCS) and the uniform caching strategy (UCS). Finally, the impacts of the key parameters, such as the SBS density, the cache size, the exponent of Zipf distribution and the height of aerial user, are investigated on the average SDP. The analytical results indicate that the UCS outperforms the PCS if the SBSs are sufficiently dense, while the PCS is better than the UCS if the exponent of Zipf distribution is large enough. Furthermore, the proposed OCS is superior to both the UCS and PCS.
This paper extends the analysis of Muni Toke and Yoshida (2020) to the case of marked point processes. We consider multiple marked point processes with intensities defined by three multiplicative components, namely a common baseline intensity, a state-dependent component specific to each process, and a state-dependent component specific to each mark within each process. We show that for specific mark distributions, this model is a combination of the ratio models defined in Muni Toke and Yoshida (2020). We prove convergence results for the quasi-maximum and quasi-Bayesian likelihood estimators of this model and provide numerical illustrations of the asymptotic variances. We use these ratio processes in order to model transactions occuring in a limit order book. Model flexibility allows us to investigate both state-dependency (emphasizing the role of imbalance and spread as significant signals) and clustering. Calibration, model selection and prediction results are reported for high-frequency trading data on multiple stocks traded on Euronext Paris. We show that the marked ratio model outperforms other intensity-based methods (such as "pure" Hawkes-based methods) in predicting the sign and aggressiveness of market orders on financial markets.
We propose a general non-linear order book model that is built from the individual behaviours of the agents. Our framework encompasses Markovian and Hawkes based models. Under mild assumptions, we prove original results on the ergodicity and diffusivity of such system. Then we provide closed form formulas for various quantities of interest: stationary distribution of the best bid and ask quantities, spread, liquidity fluctuations and price volatility. These formulas are expressed in terms of individual order flows of market participants. Our approach enables us to establish a ranking methodology for the market makers with respect to the quality of their trading.
Over the recent years, the proliferation of smart devices and their applications has led to a rapid evolution of the concept of the Internet of Things (IoT), advancing large scale machine type networks which are characterized by sporadic transmissions of short packets. In contrast to typical communication models and in order to capture a realistic IoT environment, we study an asynchronous channel access performed by a primary ad hoc network underlaid with a cognitive secondary wireless-powered ad hoc network. Specifically, we consider that the primary transmitters are connected to the power grid and employ asynchronous transmissions. On the other hand, the cognitive secondary transmitters have radio frequency energy harvesting capabilities, and their asynchronous channel access is established based on certain energy and interference based criteria. We model this sporadic channel traffic with time-space Poisson point processes and by using tools from stochastic geometry, we provide an analytical framework for the performance of this asynchronous system. In particular, we provide closed-form expressions for the information coverage probability and the spatial throughput for both networks and we derive the meta distribution of the signal-to-interference-plus-noise ratio. Finally, we present numerical results and provide important insights behind the main system parameters.
We develop a new market-making model, from the ground up, which is tailored towards high-frequency trading under a limit order book (LOB), based on the well-known classification of order types in market microstructure. Our flexible framework allows arbitrary order volume, price jump, and bid-ask spread distributions as well as the use of market orders. It also honors the consistency of price movements upon arrivals of different order types. For example, it is apparent that prices should never go down on buy market orders. In addition, it respects the price-time priority of LOB. In contrast to the approach of regular control on diffusion as in the classical Avellaneda and Stoikov [1] market-making framework, we exploit the techniques of optimal switching and impulse control on marked point processes, which have proven to be very effective in modeling the order-book features. The Hamilton-Jacobi-Bellman quasi-variational inequality (HJBQVI) associated with the control problem can be solved numerically via finite-difference method. We illustrate our optimal trading strategy with a full numerical analysis, calibrated to the order-book statistics of a popular Exchanged-Traded Fund (ETF). Our simulation shows that the profit of market-making can be severely overstated under LOBs with inconsistent price movements.
Thanks to the access to labeled orders on the Cac40 index future provided by Euronext, we are able to quantify market participants contributions to the volatility in the diffusive limit. To achieve this result we leverage the branching properties of Hawkes point processes. We find that fast intermediaries (e.g., market maker type agents) have a smaller footprint on the volatility than slower, directional agents. The branching structure of Hawkes processes allows us to examine also the degree of endogeneity of each agent behavior. We find that high-frequency traders are more endogenously driven than other types of agents.
The number of neurons that can be simultaneously recorded doubles every seven years. This ever increasing number of recorded neurons opens up the possibility to address new questions and extract higher dimensional stimuli from the recordings. Modeling neural spike trains as point processes, this task of extracting dynamical signals from spike trains is commonly set in the context of nonlinear filtering theory. Particle filter methods relying on importance weights are generic algorithms that solve the filtering task numerically, but exhibit a serious drawback when the problem dimensionality is high: they are known to suffer from the 'curse of dimensionality' (COD), i.e. the number of particles required for a certain performance scales exponentially with the observable dimensions. Here, we first briefly review the theory on filtering with point process observations in continuous time. Based on this theory, we investigate both analytically and numerically the reason for the COD of weighted particle filtering approaches: Similarly to particle filtering with continuous-time observations, the COD with point-process observations is due to the decay of effective number of particles, an effect that is stronger when the number of observable dimensions increases. Given the success of unweighted particle filtering approaches in overcoming the COD for continuous- time observations, we introduce an unweighted particle filter for point-process observations, the spike-based Neural Particle Filter (sNPF), and show that it exhibits a similar favorable scaling as the number of dimensions grows. Further, we derive rules for the parameters of the sNPF from a maximum likelihood approach learning. We finally employ a simple decoding task to illustrate the capabilities of the sNPF and to highlight one possible future application of our inference and learning algorithm.
Modeling and interpreting spike train data is a task of central importance in computational neuroscience, with significant translational implications. Two popular classes of data-driven models for this task are autoregressive Point Process Generalized Linear models (PPGLM) and latent State-Space models (SSM) with point-process observations. In this letter, we derive a mathematical connection between these two classes of models. By introducing an auxiliary history process, we represent exactly a PPGLM in terms of a latent, infinite dimensional dynamical system, which can then be mapped onto an SSM by basis function projections and moment closure. This representation provides a new perspective on widely used methods for modeling spike data, and also suggests novel algorithmic approaches to fitting such models. We illustrate our results on a phasic bursting neuron model, showing that our proposed approach provides an accurate and efficient way to capture neural dynamics.
We propose a microstructural modeling framework for studying optimal market making policies in a FIFO (first in first out) limit order book (LOB). In this context, the limit orders, market orders, and cancel orders arrivals in the LOB are modeled as Cox point processes with intensities that only depend on the state of the LOB. These are high-dimensional models which are realistic from a micro-structure point of view and have been recently developed in the literature. In this context, we consider a market maker who stands ready to buy and sell stock on a regular and continuous basis at a publicly quoted price, and identifies the strategies that maximize her P\&L penalized by her inventory. We apply the theory of Markov Decision Processes and dynamic programming method to characterize analytically the solutions to our optimal market making problem. The second part of the paper deals with the numerical aspect of the high-dimensional trading problem. We use a control randomization method combined with quantization method to compute the optimal strategies. Several computational tests are performed on simulated data to illustrate the efficiency of the computed optimal strategy. In particular, we simulated an order book with constant/ symmet-ric/ asymmetrical/ state dependent intensities, and compared the computed optimal strategy with naive strategies. Some codes are available on https://github.com/comeh.
Hawkes processes have seen a number of applications in finance, due to their ability to capture event clustering behaviour typically observed in financial systems. Given a calibrated Hawkes process, of concern is the statistical fit to empirical data, particularly for the accurate quantification of self- and mutual-excitation effects. We investigate the application of a multivariate Hawkes process with a sum-of-exponentials kernel and piecewise-linear exogeneity factors, fitted to liquidity demand and replenishment events extracted from limit order book data. We consider one-, two- and three-exponential kernels, applying various tests to ascertain goodness-of-fit and stationarity of residuals, as well as stability of the calibration procedure. In line with prior research, it is found that performance across all tests improves as the number of exponentials is increased, with a sum-of-three-exponentials yielding the best fit to the given set of coupled point processes.
We propose a parametric model for the simulation of limit order books. We assume that limit orders, market orders and cancellations are submitted according to point processes with state-dependent intensities. We propose new functional forms for these intensities, as well as new models for the placement of limit orders and cancellations. For cancellations, we introduce the concept of "priority index" to describe the selection of orders to be cancelled in the order book. Parameters of the model are estimated using likelihood maximization. We illustrate the performance of the model by providing extensive simulation results, with a comparison to empirical data and a standard Poisson reference.
Motor activity of humans displays complex temporal fluctuations which can be characterized by scale-invariant statistics, thus documenting that structure and fluctuations of such kinetics remain similar over a broad range of time scales. Former studies on humans regularly deprived of sleep or suffering from sleep disorders predicted change in the invariant scale parameters with respect to those representative for healthy subjects. In this study we investigate the signal patterns from actigraphy recordings by means of characteristic measures of fractional point processes. We analyse spontaneous locomotor activity of healthy individuals recorded during a week of regular sleep and a week of chronic partial sleep deprivation. Behavioural symptoms of lack of sleep can be evaluated by analysing statistics of duration times during active and resting states, and alteration of behavioural organization can be assessed by analysis of power laws detected in the event count distribution, distribution of waiting times between consecutive movements and detrended fluctuation analysis of recorded time series. We claim that among different measures characterizing complexity of the actigraphy recordings and their variations implied by chronic sleep distress, the exponents characterizing slopes of survival functions in resting states are the most effective biomarkers distinguishing between healthy and sleep-deprived groups.
We consider a new class of non Markovian processes with a countable number of interacting components, both in discrete and continuous time. Each component is represented by a point process indicating if it has a spike or not at a given time. The system evolves as follows. For each component, the rate (in continuous time) or the probability (in discrete time) of having a spike depends on the entire time evolution of the system since the last spike time of the component. In discrete time this class of systems extends in a non trivial way both Spitzer's interacting particle systems, which are Markovian, and Rissanen's stochastic chains with memory of variable length which have finite state space. In continuous time they can be seen as a kind of Rissanen's variable length memory version of the class of self-exciting point processes which are also called "Hawkes processes", however with infinitely many components. These features make this class a good candidate to describe the time evolution of networks of spiking neurons. In this article we present a critical reader's guide to recent papers dealing with this class of models, both in discrete and in continuous time. We briefly sketch results concerning perfect simulation and existence issues, de-correlation between successive interspike intervals, the longtime behavior of finite non-excited systems and propagation of chaos in mean field systems.
We explore martingale and convex duality techniques to study optimal investment strategies that maximize expected risk-averse utility from consumption and terminal wealth. We consider a market model with jumps driven by (multivariate) marked point processes and so-called non-linear wealth dynamics which allows to take account of relaxed assumptions such as differential borrowing and lending interest rates or short positions with cash collateral and negative rebate rates. We give suffcient conditions for existence of optimal policies for agents with logarithmic and CRRA power utility. We find closed-form solutions for the optimal value function in the case of pure-jump models with jump-size distributions modulated by a two-state Markov chain.
Filtered shot noise processes have proven to be very effective in modelling the evolution of systems exposed to stochastic shot noise sources, and have been applied to a wide variety of fields ranging from electronics through biology. In particular, they can model the membrane potential Vm of neurons driven by stochastic input, where these filtered processes are able to capture the non-stationary characteristics of Vm fluctuations in response to pre-synaptic input with variable rate. In this paper, we apply the general framework of Poisson Point Processes transformations to analyse these systems in the general case of variable input rate. We obtain exact analytic expressions, and very accurate approximations, for the joint cumulants of filtered shot noise processes with multiplicative noise. These general results are then applied to a model of neuronal membranes subject to conductance shot noise with continuously variable rate of pre-synaptic spikes. We propose very effective approximations for the time evolution of Vm distribution and simple method to estimate the pre-synaptic rate from a small number of Vm traces. This work opens the perspective of obtaining analytic access to important statistical properties of conductance-based neuronal models such as the the first passage time.
Determinantal point processes (DPPs) have received significant attention as an elegant probabilistic model for discrete subset selection. Most prior work on DPP learning focuses on maximum likelihood estimation (MLE). While efficient and scalable, MLE approaches do not leverage any subset similarity information and may fail to recover the true generative distribution of discrete data. In this work, by deriving a differentiable relaxation of a DPP sampling algorithm, we present a novel approach for learning DPPs that minimizes the Wasserstein distance between the model and data composed of observed subsets. Through an evaluation on a real-world dataset, we show that our Wasserstein learning approach provides significantly improved predictive performance on a generative task compared to DPPs trained using MLE.
In community-based question answering (CQA) platforms, it takes time for a user to get useful information from among many answers. Although one solution is an answer ranking method, the user still needs to read through the top-ranked answers carefully. This paper proposes a new task of selecting a diverse and non-redundant answer set rather than ranking the answers. Our method is based on determinantal point processes (DPPs), and it calculates the answer importance and similarity between answers by using BERT. We built a dataset focusing on a Japanese CQA site, and the experiments on this dataset demonstrated that the proposed method outperformed several baseline methods.
Semi-parametric regression models are used in several applications which require comprehensibility without sacrificing accuracy. Typical examples are spline interpolation in geophysics, or non-linear time series problems, where the system includes a linear and non-linear component. We discuss here the use of a finite Determinantal Point Process (DPP) for approximating semi-parametric models. Recently, Barthelm\'e, Tremblay, Usevich, and Amblard introduced a novel representation of some finite DPPs. These authors formulated extended L-ensembles that can conveniently represent partial-projection DPPs and suggest their use for optimal interpolation. With the help of this formalism, we derive a key identity illustrating the implicit regularization effect of determinantal sampling for semi-parametric regression and interpolation. Also, a novel projected Nystr\"om approximation is defined and used to derive a bound on the expected risk for the corresponding approximation of semi-parametric regression. This work naturally extends similar results obtained for kernel ridge regression.
The existing Neural ODE formulation relies on an explicit knowledge of the termination time. We extend Neural ODEs to implicitly defined termination criteria modeled by neural event functions, which can be chained together and differentiated through. Neural Event ODEs are capable of modeling discrete and instantaneous changes in a continuous-time system, without prior knowledge of when these changes should occur or how many such changes should exist. We test our approach in modeling hybrid discrete- and continuous- systems such as switching dynamical systems and collision in multi-body systems, and we propose simulation-based training of point processes with applications in discrete control.