System and method for ultra-high dimensional hawkes processes

A system for ultra-high dimensional Hawkes processes, comprising:

• a plurality of data sources each including one or more memories;
• and
• a processor operatively connected to the plurality of data sources via a communication network, wherein the processor is configured to:
• receive event data from the plurality of data sources, wherein the event data includes ultra-high dimensional data;
• create a model by modeling the event data as modalities and arrival rate of data points through an intensity function, wherein each modality contains a number of marks of the event;
• reduce the dimensionality of the ultra-high dimensional data to a predefined value by implementing processes of factorization;
• implement a simulation process based on a superposition principle;
• sample an inter-arrival time for each mark within a modality by applying the simulation process to generate synthetic data;
• and
• simulate the synthetic data using the created model thereby increasing processing speed of the processor for processing the ultra-high dimensional data.

A non-transitory computer readable medium configured to store instructions for ultra-high dimensional Hawkes processes, wherein when executed, the instructions cause a processor to:

• receive event data from a plurality of data sources, wherein the event data includes ultra-high dimensional data;
• create a model by modeling the event data as modalities and arrival rate of data points through an intensity function, wherein each modality contains a number of marks of the event;
• reduce the dimensionality of the ultra-high dimensional data to a predefined value by implementing processes of factorization;
• implement a simulation process based on a superposition principle;
• sample an inter-arrival time for each mark within a modality by applying the simulation process to generate synthetic data;
• and
• simulate the synthetic data using the created model thereby increasing processing speed of the processor for processing the ultra-high dimensional data.