Modelling systemic price cojumps with Hawkes factor models
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 of publication: |
2013-01
|
---|---|
Authors: | Bormetti, Giacomo ; Calcagnile, Lucio Maria ; Treccani, Michele ; Corsi, Fulvio ; Marmi, Stefano ; Lillo, Fabrizio |
Institutions: | arXiv.org |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Collective synchronization and high frequency systemic instabilities in financial markets
Calcagnile, Lucio Maria, (2015)
-
Modelling Systemic Price Cojumps with Hawkes Factor Models
Bormetti, Giacomo, (2013)
-
Collective synchronization and high frequency systemic instabilities in financial markets
Calcagnile, Lucio Maria, (2018)
- More ...