Uncovering Causality from Multivariate Hawkes Integrated Cumulants

Massil Achab, Emmanuel Bacry, Stéphane Gaïffas, Iacopo Mastromatteo, Jean-François Muzy

Abstract: We design a new nonparametric method that allows one to estimate the matrix of integrated kernels of a multivariate Hawkes process. This matrix not only encodes the mutual influences of each node o...