Modelling systemic price cojumps with Hawkes factor models
Statistical Finance
2013-03-12 v2
Abstract
Instabilities in the price dynamics of a large number of financial assets are a clear sign of systemic events. By investigating a set of 20 high cap stocks traded at the Italian Stock Exchange, we find that there is 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.
Cite
@article{arxiv.1301.6141,
title = {Modelling systemic price cojumps with Hawkes factor models},
author = {Giacomo Bormetti and Lucio Maria Calcagnile and Michele Treccani and Fulvio Corsi and Stefano Marmi and Fabrizio Lillo},
journal= {arXiv preprint arXiv:1301.6141},
year = {2013}
}
Comments
11 figures, 8 tables, block bootstrap section removed, some typos corrected