{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,2,4]],"date-time":"2026-02-04T19:14:40Z","timestamp":1770232480917,"version":"3.49.0"},"publisher-location":"Singapore","reference-count":23,"publisher":"Springer Nature Singapore","isbn-type":[{"value":"9789819722617","type":"print"},{"value":"9789819722594","type":"electronic"}],"license":[{"start":{"date-parts":[[2024,1,1]],"date-time":"2024-01-01T00:00:00Z","timestamp":1704067200000},"content-version":"tdm","delay-in-days":0,"URL":"https:\/\/www.springernature.com\/gp\/researchers\/text-and-data-mining"},{"start":{"date-parts":[[2024,1,1]],"date-time":"2024-01-01T00:00:00Z","timestamp":1704067200000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/www.springernature.com\/gp\/researchers\/text-and-data-mining"}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2024]]},"DOI":"10.1007\/978-981-97-2259-4_15","type":"book-chapter","created":{"date-parts":[[2024,4,24]],"date-time":"2024-04-24T09:02:31Z","timestamp":1713949351000},"page":"197-209","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":3,"title":["Neural Marked Hawkes Process for\u00a0Limit Order Book Modeling"],"prefix":"10.1007","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-1876-5568","authenticated-orcid":false,"given":"Guhyuk","family":"Chung","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-5411-4340","authenticated-orcid":false,"given":"Yongjae","family":"Lee","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-8385-9598","authenticated-orcid":false,"given":"Woo Chang","family":"Kim","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"297","published-online":{"date-parts":[[2024,4,25]]},"reference":[{"key":"15_CR1","unstructured":"Bishop, C.M.: Mixture density networks (1994)"},{"key":"15_CR2","unstructured":"Chen, R.T., Amos, B., Nickel, M.: Neural spatio-temporal point processes. arXiv preprint arXiv:2011.04583 (2020)"},{"key":"15_CR3","doi-asserted-by":"publisher","unstructured":"Daley, D.J., Vere-Jones, D., et\u00a0al.: An Introduction to the Theory of Point Processes: Volume I: Elementary Theory and Methods. Springer, New York (2003). https:\/\/doi.org\/10.1007\/b97277","DOI":"10.1007\/b97277"},{"key":"15_CR4","doi-asserted-by":"crossref","unstructured":"Du, N., Dai, H., Trivedi, R., Upadhyay, U., Gomez-Rodriguez, M., Song, L.: Recurrent marked temporal point processes: Embedding event history to vector. In: Proceedings of the 22nd ACM SIGKDD International Conference on Knowledge Discovery and Data Mining, pp. 1555\u20131564 (2016)","DOI":"10.1145\/2939672.2939875"},{"issue":"A","key":"15_CR5","doi-asserted-by":"publisher","first-page":"367","DOI":"10.1239\/jap\/1318940477","volume":"48","author":"P Embrechts","year":"2011","unstructured":"Embrechts, P., Liniger, T., Lin, L.: Multivariate Hawkes processes: an application to financial data. J. Appl. Probab. 48(A), 367\u2013378 (2011)","journal-title":"J. Appl. Probab."},{"issue":"1","key":"15_CR6","doi-asserted-by":"publisher","first-page":"83","DOI":"10.1093\/biomet\/58.1.83","volume":"58","author":"AG Hawkes","year":"1971","unstructured":"Hawkes, A.G.: Spectra of some self-exciting and mutually exciting point processes. Biometrika 58(1), 83\u201390 (1971)","journal-title":"Biometrika"},{"issue":"2","key":"15_CR7","doi-asserted-by":"publisher","first-page":"193","DOI":"10.1080\/14697688.2017.1403131","volume":"18","author":"AG Hawkes","year":"2018","unstructured":"Hawkes, A.G.: Hawkes processes and their applications to finance: a review. Quant. Financ. 18(2), 193\u2013198 (2018)","journal-title":"Quant. Financ."},{"key":"15_CR8","unstructured":"Jia, J., Benson, A.R.: Neural jump stochastic differential equations. In: Advances in Neural Information Processing Systems, vol. 32 (2019)"},{"issue":"11","key":"15_CR9","doi-asserted-by":"publisher","first-page":"3964","DOI":"10.1109\/TPAMI.2020.2992934","volume":"43","author":"I Kobyzev","year":"2020","unstructured":"Kobyzev, I., Prince, S.J., Brubaker, M.A.: Normalizing flows: an introduction and review of current methods. IEEE Trans. Pattern Anal. Mach. Intell. 43(11), 3964\u20133979 (2020)","journal-title":"IEEE Trans. Pattern Anal. Mach. Intell."},{"key":"15_CR10","unstructured":"Kumar, P.: Deep Hawkes process for high-frequency market making. arXiv preprint arXiv:2109.15110 (2021)"},{"key":"15_CR11","unstructured":"Liniger, T.J.: Multivariate Hawkes processes. Ph.D. thesis, ETH Zurich (2009)"},{"issue":"2","key":"15_CR12","doi-asserted-by":"publisher","first-page":"249","DOI":"10.1080\/14697688.2017.1403142","volume":"18","author":"X Lu","year":"2018","unstructured":"Lu, X., Abergel, F.: High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration. Quant. Financ. 18(2), 249\u2013264 (2018)","journal-title":"Quant. Financ."},{"issue":"01n02","key":"15_CR13","doi-asserted-by":"publisher","first-page":"1950003","DOI":"10.1142\/S2382626619500035","volume":"4","author":"X Lu","year":"2018","unstructured":"Lu, X., Abergel, F.: Order-book modeling and market making strategies. Mark. Microstruct. Liq. 4(01n02), 1950003 (2018)","journal-title":"Mark. Microstruct. Liq."},{"key":"15_CR14","unstructured":"Mei, H., Eisner, J.M.: The neural Hawkes process: a neurally self-modulating multivariate point process. In: Advances in Neural Information Processing Systems, vol. 30 (2017)"},{"issue":"7","key":"15_CR15","doi-asserted-by":"publisher","first-page":"999","DOI":"10.1080\/14697688.2016.1260759","volume":"17","author":"M Rambaldi","year":"2017","unstructured":"Rambaldi, M., Bacry, E., Lillo, F.: The role of volume in order book dynamics: a multivariate Hawkes process analysis. Quant. Financ. 17(7), 999\u20131020 (2017)","journal-title":"Quant. Financ."},{"key":"15_CR16","unstructured":"Rothfuss, J., et al.: Noise regularization for conditional density estimation. arXiv preprint arXiv:1907.08982 (2019)"},{"key":"15_CR17","doi-asserted-by":"crossref","unstructured":"Shchur, O., T\u00fcrkmen, A.C., Januschowski, T., G\u00fcnnemann, S.: Neural temporal point processes: a review. arXiv preprint arXiv:2104.03528 (2021)","DOI":"10.24963\/ijcai.2021\/623"},{"key":"15_CR18","doi-asserted-by":"crossref","unstructured":"Shi, Z., Cartlidge, J.: State dependent parallel neural Hawkes process for limit order book event stream prediction and simulation. In: Proceedings of the 28th ACM SIGKDD Conference on Knowledge Discovery and Data Mining, pp. 1607\u20131615 (2022)","DOI":"10.1145\/3534678.3539462"},{"key":"15_CR19","unstructured":"Trippe, B.L., Turner, R.E.: Conditional density estimation with Bayesian normalising flows. arXiv preprint arXiv:1802.04908 (2018)"},{"key":"15_CR20","unstructured":"Wu, P., Rambaldi, M., Muzy, J.F., Bacry, E.: Queue-reactive Hawkes models for the order flow. arXiv preprint arXiv:1901.08938 (2019)"},{"key":"15_CR21","doi-asserted-by":"crossref","unstructured":"Wu, P., Rambaldi, M., Muzy, J.F., Bacry, E.: A single queue reactive Hawkes model for the order flow. Market Microstruct. Liq. (2023, accepted)","DOI":"10.1142\/S2382626620500136"},{"key":"15_CR22","unstructured":"Zhu, S., Wang, H., Dong, Z., Cheng, X., Xie, Y.: Neural spectral marked point processes. arXiv preprint arXiv:2106.10773 (2021)"},{"key":"15_CR23","unstructured":"Zuo, S., Jiang, H., Li, Z., Zhao, T., Zha, H.: Transformer Hawkes process. In: International Conference on Machine Learning, pp. 11692\u201311702. PMLR (2020)"}],"container-title":["Lecture Notes in Computer Science","Advances in Knowledge Discovery and Data Mining"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/link.springer.com\/content\/pdf\/10.1007\/978-981-97-2259-4_15","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,4,24]],"date-time":"2024-04-24T23:18:20Z","timestamp":1714000700000},"score":1,"resource":{"primary":{"URL":"https:\/\/link.springer.com\/10.1007\/978-981-97-2259-4_15"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2024]]},"ISBN":["9789819722617","9789819722594"],"references-count":23,"URL":"https:\/\/doi.org\/10.1007\/978-981-97-2259-4_15","relation":{},"ISSN":["0302-9743","1611-3349"],"issn-type":[{"value":"0302-9743","type":"print"},{"value":"1611-3349","type":"electronic"}],"subject":[],"published":{"date-parts":[[2024]]},"assertion":[{"value":"25 April 2024","order":1,"name":"first_online","label":"First Online","group":{"name":"ChapterHistory","label":"Chapter History"}},{"value":"PAKDD","order":1,"name":"conference_acronym","label":"Conference Acronym","group":{"name":"ConferenceInfo","label":"Conference Information"}},{"value":"Pacific-Asia Conference on Knowledge Discovery and Data Mining","order":2,"name":"conference_name","label":"Conference Name","group":{"name":"ConferenceInfo","label":"Conference Information"}},{"value":"Taipei","order":3,"name":"conference_city","label":"Conference City","group":{"name":"ConferenceInfo","label":"Conference Information"}},{"value":"Taiwan","order":4,"name":"conference_country","label":"Conference Country","group":{"name":"ConferenceInfo","label":"Conference Information"}},{"value":"2024","order":5,"name":"conference_year","label":"Conference Year","group":{"name":"ConferenceInfo","label":"Conference Information"}},{"value":"7 May 2024","order":7,"name":"conference_start_date","label":"Conference Start Date","group":{"name":"ConferenceInfo","label":"Conference Information"}},{"value":"10 May 2024","order":8,"name":"conference_end_date","label":"Conference End Date","group":{"name":"ConferenceInfo","label":"Conference Information"}},{"value":"28","order":9,"name":"conference_number","label":"Conference Number","group":{"name":"ConferenceInfo","label":"Conference Information"}},{"value":"pakdd2024","order":10,"name":"conference_id","label":"Conference ID","group":{"name":"ConferenceInfo","label":"Conference Information"}},{"value":"https:\/\/pakdd2024.org\/","order":11,"name":"conference_url","label":"Conference URL","group":{"name":"ConferenceInfo","label":"Conference Information"}}]}}