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.
|Titolo:||Modelling systemic price cojumps with Hawkes factor models|
|Data di pubblicazione:||2015|
|Digital Object Identifier (DOI):||http://dx.doi.org/10.1080/14697688.2014.996586|
|Parole Chiave:||Cojumps; Hawkes processes; Systemic shocks; High frequency data|
|Appare nelle tipologie:||1.1 Articolo in rivista|