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EnglishInstabilities in the price dynamics of a large number of financial assets are a clear sign of systemic events. By investigating portfolios of highly liquid stocks, we find that there are 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.
| Titolo: | Modelling systemic price cojumps with Hawkes factor models |
| Autori: | |
| Data di pubblicazione: | 2015 |
| Rivista: | |
| Abstract: | Instabilities in the price dynamics of a large number of financial assets are a clear sign of systemic events. By investigating portfolios of highly liquid stocks, we find that there are 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. |
| Handle: | http://hdl.handle.net/11384/56960 |
| Appare nelle tipologie: | 1.1 Articolo in rivista |
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