Modelling systemic price cojumps with Hawkes factor models
AbstractInstabilities 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.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1301.6141.
Date of creation: Jan 2013
Date of revision: Mar 2013
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-02-03 (All new papers)
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