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RESEARCH PRODUCT
Modelling Systemic Cojumps with Hawkes Factor Models
Giacomo BormettiMichele TreccaniFulvio CorsiFulvio CorsiStefano MarmiFabrizio LilloLucio Maria Calcagnilesubject
symbols.namesakeMultivariate statisticsStock exchangeEconometricssymbolsEconomicsPoisson distributionSynchronizationTime clusteringFactor analysisSign (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 |
|---|---|---|---|---|
| 2013-01-01 | SSRN Electronic Journal |