Modeling aggressive market order placements with Hawkes factor models.
PLoS One
; 15(1): e0226667, 2020.
Article
em En
| MEDLINE
| ID: mdl-31923180
ABSTRACT
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.
Texto completo:
1
Coleções:
01-internacional
Base de dados:
MEDLINE
Assunto principal:
Modelos Econômicos
/
Investimentos em Saúde
Tipo de estudo:
Health_economic_evaluation
/
Prognostic_studies
Idioma:
En
Revista:
PLoS One
Assunto da revista:
CIENCIA
/
MEDICINA
Ano de publicação:
2020
Tipo de documento:
Article
País de afiliação:
China