Modeling aggressive market order placements with Hawkes factor models


Autoři: Hai-Chuan Xu aff001;  Wei-Xing Zhou aff001
Působiště autorů: Research Center for Econophysics, East Chine University of Science and Technology, Shanghai, China aff001;  Department of Finance, East Chine University of Science and Technology, Shanghai, China aff002;  Department of Mathematics, East China University of Science and Technology, Shanghai, China aff003
Vyšlo v časopise: PLoS ONE 15(1)
Kategorie: Research Article
prolekare.web.journal.doi_sk: 10.1371/journal.pone.0226667

Souhrn

Price changes are induced by aggressive market orders in stock market. We introduce a bivariate marked Hawkes process to model aggressive market order arrivals at the microstructural level. The order arrival intensity is marked by an exogenous part and two endogenous processes reflecting the self-excitation and cross-excitation respectively. We calibrate the model for a Shenzhen Stock Exchange stock. We find that the exponential kernel with a smooth cut-off (i.e. the subtraction of two exponentials) produces much better calibration than the monotonous exponential kernel (i.e. the sum of two exponentials). The exogenous baseline intensity explains the U-shaped intraday pattern. Our empirical results show that the endogenous submission clustering is mainly caused by self-excitation rather than cross-excitation.

Klíčová slova:

Exponential functions – Finance – Fluid flow – Kernel functions – Microstructure – Operator theory – Stock markets – Commodity markets


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