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arXiv · 1301.6141

Modelling systemic price cojumps with Hawkes factor models

Giacomo Bormetti·Lucio Maria Calcagnile·Michele Treccani·Fulvio Corsi·Stefano Marmi·Fabrizio Lillo
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Abstract

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.

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Giacomo Bormetti, Lucio Maria Calcagnile, Michele Treccani, Fulvio Corsi, Stefano Marmi, Fabrizio Lillo. 2013-01-25. Modelling systemic price cojumps with Hawkes factor models. https://arxiv.org/abs/1301.6141

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