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

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