Modelling systemic price cojumps with Hawkes factor models

被引：54

作者：

Bormetti, Giacomo ^{[1
,2
]}

Calcagnile, Lucio Maria ^{[1
,2
]}

Treccani, Michele ^{[2
,3
]}

Corsi, Fulvio ^{[1
]}

Marmi, Stefano ^{[1
,2
,4
]}

Lillo, Fabrizio ^{[1
,2
,5
,6
]}

机构：

[1] Scuola Normale Super Pisa, I-56126 Pisa, Italy

[2] QUANTLab, I-56122 Pisa, Italy

[3] LIST SpA, I-56122 Pisa, Italy

[4] CNRS, UMI 3483, Lab Fibonacci, I-56126 Pisa, Italy

[5] Univ Palermo, Dipartimento Chim & Fis, I-90128 Palermo, Italy

[6] Santa Fe Inst, Santa Fe, NM 87501 USA

来源：

QUANTITATIVE FINANCE | 2015年 / 15卷 / 07期

关键词：

C32; C5; G01; G10; C51; Systemic shocks; Hawkes processes; Cojumps; High frequency data; CONTINUOUS-TIME; HIGH-FREQUENCY; STOCK-PRICES; JUMPS; VOLATILITY; RISK; SIMULATION; DIFFUSION; POISSON; TAILS;

D O I：

10.1080/14697688.2014.996586

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Instabilities in the price dynamics of a large number of financial assets are a clear sign of systemic events. By investigating portfolios of highly liquid stocks, we find that there are a large number of high-frequency cojumps. We show that the dynamics of these jumps is described neither by a multivariate Poisson nor by a multivariate Hawkes model. We introduce a Hawkes one-factor model which is able to capture simultaneously the time clustering of jumps and the high synchronization of jumps across assets.

引用

页码：1137 / 1156

页数：20

共 50 条

[21] Uniform predictive inference for factor models with instrumental and idiosyncratic betas
Cheng, Mingmian
Liao, Yuan
Yang, Xiye
JOURNAL OF ECONOMETRICS, 2023, 237 (02)
[22] Structural credit risk modelling with Hawkes jump diffusion processes
Ma, Yong
Xu, Weidong
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2016, 303 : 69 - 80
[23] Modelling interregional links in electricity price spikes
Clements, A. E.
Herrera, R.
Hurn, A. S.
ENERGY ECONOMICS, 2015, 51 : 383 - 393
[24] Dynamic optimal execution in a mixed-market-impact Hawkes price model
Alfonsi, Aurelien
Blanc, Pierre
FINANCE AND STOCHASTICS, 2016, 20 (01) : 183 - 218
[25] Dynamic optimal execution in a mixed-market-impact Hawkes price model
Aurélien Alfonsi
Pierre Blanc
Finance and Stochastics, 2016, 20 : 183 - 218
[26] High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration
Lu, Xiaofei
Abergel, Frederic
QUANTITATIVE FINANCE, 2018, 18 (02) : 249 - 264
[27] Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data
Lee, Kyungsub
Seo, Byoung Ki
JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 2017, 79 : 154 - 183
[28] COMPARISON OF HAWKES AND SEIR MODELS FOR THE SPREAD OF COVID-19
Kresin, Conor
Schoenberg, Frederic Paik
Mohler, George
ADVANCES AND APPLICATIONS IN STATISTICS, 2022, 74 : 83 - 106
[29] Modelling oil price volatility
Narayan, Paresh Kumar
Narayan, Seema
ENERGY POLICY, 2007, 35 (12) : 6549 - 6553
[30] Modelling jumps with CARMA(p,q)-Hawkes: An application to corporate bond markets
Mercuri, Lorenzo
Perchiazzo, Andrea
Rroji, Edit
FINANCE RESEARCH LETTERS, 2025, 73

← 1 2 3 4 5 →