Related papers: Exogenous and Endogenous Price Jumps Belong to Dif…
Dynamic jumps in the price and volatility of an asset are modelled using a joint Hawkes process in conjunction with a bivariate jump diffusion. A state space representation is used to link observed returns, plus nonparametric measures of…
The paper discusses multivariate self- and cross-exciting processes. We define a class of multivariate point processes via their corresponding stochastic intensity processes that are driven by stochastic jumps. Essentially, there is a jump…
Recent years have seen an unprecedented rise of the role that technology plays in all aspects of human activities. Unavoidably, technology has heavily entered the Capital Markets trading space, to the extent that all major exchanges are now…
An extensive empirical literature documents a generally negative correlation, named the "leverage effect," between asset returns and changes of volatility. It is more challenging to establish such a return-volatility relationship for jumps…
Investigations of inverse statistics (a concept borrowed from turbulence) in stock markets, exemplified with filtered Dow Jones Industrial Average, S&P 500, and NASDAQ, have uncovered a novel stylized fact that the distribution of exit time…
In this paper, we study a class of self-exciting point processes. The intensity of the point process has a nonlinear dependence on the past history and time. When a new jump occurs, the intensity increases and we expect more jumps to come.…
Event occurrence is not only subject to the environmental changes, but is also facilitated by the events that have occurred in a system. Here, we develop a method for estimating such extrinsic and intrinsic factors from a single series of…
The dynamics of technological, economic and social phenomena is controlled by how humans organize their daily tasks in response to both endogenous and exogenous stimulations. Queueing theory is believed to provide a generic answer to…
Are large biological extinctions such as the Cretaceous/Tertiary KT boundary due to a meteorite, extreme volcanic activity or self-organized critical extinction cascades? Are commercial successes due to a progressive reputation cascade or…
We discuss several models in order to shed light on the origin of power-law distributions and power-law correlations in financial time series. From an empirical point of view, the exponents describing the tails of the price increments…
Large variations in stock prices happen with sufficient frequency to raise doubts about existing models, which all fail to account for non-Gaussian statistics. We construct simple models of a stock market, and argue that the large…
The occurrence of new events in a system is typically driven by external causes and by previous events taking place inside the system. This is a general statement, applying to a range of situations including, more recently, to the activity…
This paper highlights the role of risk neutral investors in generating endogenous bubbles in derivatives markets. We find that a market for derivatives, which has all the features of a perfect market except completeness and has some risk…
We study the dynamics of public media attention by monitoring the content of online blogs. Social and media events can be traced by the propagation of word frequencies of related keywords. Media events are classified as exogenous - where…
We show that the quotient of Levy processes of jump-diffusion type has a fat-tailed distribution. An application is to price theory in economics. We show that fat tails arise endogenously from modeling of price change based on an excess…
Stock prices are observed to be random walks in time despite a strong, long term memory in the signs of trades (buys or sells). Lillo and Farmer have recently suggested that these correlations are compensated by opposite long ranged…
Systems with long-range persistence and memory are shown to exhibit different precursory as well as recovery patterns in response to shocks of exogeneous versus endogeneous origins. By endogeneous, we envision either fluctuations resulting…
We establish several new stylised facts concerning the intra-day seasonalities of stock dynamics. Beyond the well known U-shaped pattern of the volatility, we find that the average correlation between stocks increases throughout the day,…
We study the interaction between returns and order flow imbalances in the S&P 500 E-mini futures market using a structural VAR model identified through heteroskedasticity. The model is estimated at one-second frequency for each 15-minute…
The paper proposes a class of financial market models which are based on inhomogeneous telegraph processes and jump diffusions with alternating volatilities. It is assumed that the jumps occur when the tendencies and volatilities are…