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

[41] Asian options pricing in Hawkes-type jump-diffusion models
Brignone, Riccardo
Sgarra, Carlo
ANNALS OF FINANCE, 2020, 16 (01) : 101 - 119
[42] Asian options pricing in Hawkes-type jump-diffusion models
Riccardo Brignone
Carlo Sgarra
Annals of Finance, 2020, 16 : 101 - 119
[43] Improving Asset Price Prediction When All Models are False
Durham, Garland
Geweke, John
JOURNAL OF FINANCIAL ECONOMETRICS, 2014, 12 (02) : 278 - 306
[44] Urban Housing Price Fluctuations and Regional Systemic Financial Risks: Panel Spatial Economic Models in Jiangsu, China
Liu, Fengyun
Liu, Chuanzhe
Ren, Honghao
SUSTAINABILITY, 2018, 10 (10)
[45] Modelling stock price movements: multifractality or multifractionality?
Bianchi, Sergio
Pianese, Augusto
QUANTITATIVE FINANCE, 2007, 7 (03) : 301 - 319
[46] Freight options: Price modelling and empirical analysis
Nomikos, Nikos K.
Kyriakou, Ioannis
Papapostolou, Nikos C.
Pouliasis, Panos K.
TRANSPORTATION RESEARCH PART E-LOGISTICS AND TRANSPORTATION REVIEW, 2013, 51 : 82 - 94
[47] Optimal Liquidation, Acquisition and Market Making Problems in HFT under Hawkes Models for LOB
Contreras, Ana Roldan
Swishchuk, Anatoliy
RISKS, 2022, 10 (08)
[48] Best of the Best: A Comparison of Factor Models
Ahmed, Shamim
Bu, Ziwen
Tsvetanov, Daniel
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 2019, 54 (04) : 1713 - 1758
[49] Models and Modelling in Archaeology
Nakoinz, Oliver
HISTORICAL SOCIAL RESEARCH-HISTORISCHE SOZIALFORSCHUNG, 2018, : 101 - 112
[50] Modelling Electricity Swaps with Stochastic Forward Premium Models
Blanco, Ivan
Ignacio Pena, Juan
Rodriguez, Rosa
ENERGY JOURNAL, 2018, 39 (02) : 1 - 33

← 1 2 3 4 5 →