6533b7d4fe1ef96bd1261f7e
RESEARCH PRODUCT
Modelling systemic price cojumps with Hawkes factor models
Stefano MarmiLucio Maria CalcagnileFulvio CorsiFabrizio LilloMichele TreccaniGiacomo Bormettisubject
Multivariate statisticsEconomicsSystemic shockPoisson distribution01 natural sciencesSynchronizationEconometrics and Finance (all)2001 EconomicsFOS: Economics and business010104 statistics & probabilitysymbols.namesakeHigh frequency data0502 economics and businessEconomicsEconometricsCojumps0101 mathematicsCojumps; Hawkes processes; High frequency data; Systemic shocks; Finance; Economics Econometrics and Finance (all)2001 Economics Econometrics and Finance (miscellaneous)Time clusteringFactor analysisSettore SECS-S/06 - Metodi mat. dell'economia e Scienze Attuariali e FinanziarieStatistical Finance (q-fin.ST)050208 financeSystemic shocksHawkes processe05 social sciencesQuantitative Finance - Statistical FinanceEconomics Econometrics and Finance (all)2001 Economics Econometrics and Finance (miscellaneous)Econometrics and Finance (miscellaneous)symbolsCojumpHawkes processesGeneral Economics Econometrics and FinanceFinanceSign (mathematics)description
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.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2015-03-13 | Quantitative Finance |