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Displaying results 1 to 10 of 10.

  1. Bootstrap inference for Hawkes and general point processes
    Author: Cavaliere, Giuseppe; Lu, Ye; Rahbek, Anders; Stærk-Østergaard, Jacob
    Published: [2021]
    Publisher:  Department of Economics, University of Copenhagen, Copenhagen, Denmark

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 572
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: This version: March 2021
    Series: Discussion papers / Department of Economics, University of Copenhagen ; no. 21, 05
    Subjects: Self-exciting point processes; conditional intensity; bootstrap inference; Hawkes process
    Scope: 1 Online-Ressource (circa 47 Seiten), Illustrationen
  2. Classification of flash crashes using the Hawkes(p,q) framework
    Author: Wehrli, Alexander; Sornette, Didier
    Published: 2020
    Publisher:  Swiss Finance Institute, Geneva

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    Language: English
    Media type: Book
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    Series: Research paper series / Swiss Finance Institute ; no 20, 92
    Subjects: Flash crash; Hawkes process; ARMA point process; High frequency nancial data; Market microstructure; EM algorithm; Time-varying parameters
    Scope: 1 Online-Ressource (circa 47 Seiten), Illustrationen
  3. Dynamic asset price jumps and the performance of high frequency tests and measures
    Author: Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, Catherine Scipione
    Published: October 2017
    Publisher:  Monash University, Department of Econometrics and Business Statistics, Victoria

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / Monash University, Department of Econometrics and Business Statistics ; 17, 14
    Subjects: Dynamic price jumps; Price jump tests; Nonparametric jump measures; Hawkes process; Discretized jump diffusion model; Bayesian Markov chain Monte Carlo
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  4. Dynamic price jumps
    the performance of high frequency tests and measures, and the robustness of inference
    Author: Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, Catherine Scipione
    Published: September 2018
    Publisher:  Monash University, Department of Econometrics and Business Statistics, [Victoria, Australia]

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    Language: English
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    Series: Working paper / Monash University, Department of Econometrics and Business Statistics ; 18, 17
    Subjects: Price jump tests; Nonparametric jump measures; Hawkes process; Discretized jump diffusion model; Volatility jumps; Bayesian Markov chain Monte Carlo
    Scope: 1 Online-Ressource (circa 48 Seiten), Illustrationen
  5. Excess financial volatility explained by endogenous excitations revealed by EM calibrations of a generalized Hawkes point process
    Author: Wehrli, Alexander; Sornette, Didier
    Published: 2021
    Publisher:  Swiss Finance Institute, Geneva

    Puzzling deviations from the predictions of rational finance theory have been extensively documented empirically. In this paper, we offer an explanation for one of these anomalies, the “excess volatility puzzle”, i.e. the observation that prices... more

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    Puzzling deviations from the predictions of rational finance theory have been extensively documented empirically. In this paper, we offer an explanation for one of these anomalies, the “excess volatility puzzle”, i.e. the observation that prices fluctuate more than fundamentally justified. Based on Expectation Maximization (EM) calibrations of a generalized Hawkes point process model to price changes of major currency pairs and equity futures, we construct a decomposition of the variance of high frequency price changes into an exogenous (and thus efficient) component and an endogenous (and thus inefficient) excess component. The endogenously induced excess volatility is found to be substantial, largely stable at longer time scales and thus provides a plausible ex-planation for the excess volatility puzzle. Furthermore, strong endogenous variations at shorter scales are found to lead to major temporary inefficiencies. For example, during the “flash crash” in the GBP/USD exchange rate on October 7, 2016, we document a significant breakdown of market efficiency and an excessive burst in volatility, almost entirely explained by endogenous feedback. Conversely, the shock to EUR/ USD volatility in response to the 2016 Brexit referendum was not accompanied by such a deterioration in market efficiency. These results underline that a more solid understanding of the microstructural origins of financial fluctuations also bears important lessons for neo-classical concepts, like market efficiency, which are fundamental to financial and economic theory

     
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    Source: Union catalogues
    Language: English
    Media type: Book
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    Series: Research paper series / Swiss Finance Institute ; no 21, 35
    Subjects: market efficiency; excess volatility; endogeneity; Hawkes process; high frequency data
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  6. Inference on self-exciting jumps in prices and volatility using high frequency measures
    Author: Maneesoonthorn, Worapree; Forbes, Catherine Scipione; Martin, Gael M.
    Published: December 2014
    Publisher:  Monash University, Department of Econometrics and Business Statistics, Victoria

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / Monash University, Department of Econometrics and Business Statistics ; 14, 30
    Subjects: Dynamic price and volatility jumps; Stochastic volatility; Hawkes process; Nonlinear state space model; Bayesian Markov chain Monte Carlo; Global financial crisis
    Scope: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  7. Inference on self-exciting jumps in prices and volatility using high frequency measures
    Author: Maneesoonthorn, Worapree; Forbes, Catherine Scipione; Martin, Gael M.
    Published: March 2016
    Publisher:  Monash University, Department of Econometrics and Business Statistics, Victoria

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: Revised 14, 30
    Series: Working paper / Monash University, Department of Econometrics and Business Statistics ; 16, 08
    Subjects: Dynamic price and volatility jumps; Stochastic volatility; Hawkes process; Nonlinear state space model; Bayesian Markov chain Monte Carlo; Global financial crisis
    Scope: 1 Online-Ressource (circa 37 Seiten), Illustrationen
  8. Optimal trade execution under endogenous order flow
    Author: Chen, Ying; Hoang Hai Tran; Horst, Ulrich
    Published: [2023]
    Publisher:  Collaborative Research Center Transregio 190, [München]

    We consider an optimal liquidation model in which an investor is required to execute meta-orders during intraday trading periods, and his trading activity triggers child orders and endogenously affects future order flow, both instantaneously and... more

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    We consider an optimal liquidation model in which an investor is required to execute meta-orders during intraday trading periods, and his trading activity triggers child orders and endogenously affects future order flow, both instantaneously and permanently. Under the assumptions of risk neutrality and deterministic constants of the impact parameters, we provide closed-form solutions and illustrate the relationship between trading strategies and feedback effects. The optimal trading strategy is of hyperbolic form if the feedback effect of current trading on future order flow is not too strong. If the feedback effect becomes too dominating, a cyclic strategy with possible beneficial round-trips may emerge. We set up an estimation framework so that parameter estimates can be made directly from public data and are consistent with the theoretical model. When implementing our model on 110 NASDAQ stocks, the empirical analysis shows that as the level of endogeneity increases, our strategy provides increasingly better performance than the commonly adopted trading strategy. The empirical analysis also shows that too strong feedback effects do not exist in practice, thus ruling out statistical arbitrage.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
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    Other identifier:
    hdl: 10419/282060
    Series: Discussion paper / Rationality & Competition, CRC TRR 190 ; no. 368 (January 20, 2023)
    Subjects: liquidity risk; optimal trading strategy; portfolio liquidation; Hawkes process
    Scope: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  9. Portfolio liquidation games with self-exciting order flow
    Author: Fu, Guanxing; Horst, Ulrich; Xia, Xiaonyu
    Published: [2022]
    Publisher:  Collaborative Research Center Transregio 190, [München]

    We analyze novel portfolio liquidation games with self-exciting order flow. Both the N-player game and the mean-field game are considered. We assume that players' trading activities have an impact on the dynamics of future market order arrivals... more

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    We analyze novel portfolio liquidation games with self-exciting order flow. Both the N-player game and the mean-field game are considered. We assume that players' trading activities have an impact on the dynamics of future market order arrivals thereby generating an additional transient price impact. Given the strategies of her competitors each player solves a mean-field control problem. We characterize open-loop Nash equilibria in both games in terms of a novel mean-field FBSDE system with unknown terminal condition. Under a weak interaction condition we prove that the FBSDE systems have unique solutions. Using a novel sufficient maximum principle that does not require convexity of the cost function we finally prove that the solution of the FBSDE systems do indeed provide open-loop Nash equilibria.

     
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    hdl: 10419/256794
    Series: Discussion paper / Rationality & Competition, CRC TRR 190 ; no. 327 (May 5, 2022)
    Subjects: stochastic games; mean-field games; portfolio liquidation; Hawkes process; singular terminal value
    Scope: 1 Online-Ressource (circa 36 Seiten), Illustrationen
  10. Short selling ban and intraday dynamics
    Author: Crego, Julio A.
    Published: November 2017
    Publisher:  CEMFI, Centro de estudios monetarios y financieros, Madrid

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    Series: Working paper / CEMFI ; 1715
    Subjects: Short selling; market quality; Hawkes process; aggressiveness
    Scope: 1 Online-Ressource (circa 39 Seiten), Illustrationen