Multi-kernel property in high-frequency price dynamics under Hawkes model

IF 0.7 4区 经济学 Q3 ECONOMICS Studies in Nonlinear Dynamics and Econometrics Pub Date : 2023-02-23 DOI:10.1515/snde-2022-0049
Kyungsub Lee
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Abstract

Abstract This study investigates and uses multi-kernel Hawkes models to describe a high-frequency mid-price process. Each kernel represents a different responsive speed of market participants. Using the conditional Hessian, we examine whether the numerical optimizer effectively finds the global maximum of the log-likelihood function under complicated modeling. Empirical studies that use stock prices in the US equity market show the existence of multi-kernels classified as ultra-high-frequency (UHF), very-high-frequency (VHF), and high-frequency (HF). We estimate the conditional expectations of arrival times and the degree of contribution to the high-frequency activities for each kernel.
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Hawkes模型下高频价格动态的多核性质
摘要本文研究并使用多核Hawkes模型来描述一个高频中间价格过程。每个内核代表市场参与者不同的响应速度。使用条件Hessian,我们检验了在复杂建模下,数值优化器是否有效地找到了对数似然函数的全局最大值。使用美国股市股票价格的实证研究表明,存在分类为超高频(UHF)、甚高频(VHF)和高频(HF)的多核。我们估计了到达时间的条件期望以及每个内核对高频活动的贡献程度。
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来源期刊
CiteScore
1.40
自引率
12.50%
发文量
34
期刊介绍: Studies in Nonlinear Dynamics & Econometrics (SNDE) recognizes that advances in statistics and dynamical systems theory may increase our understanding of economic and financial markets. The journal seeks both theoretical and applied papers that characterize and motivate nonlinear phenomena. Researchers are required to assist replication of empirical results by providing copies of data and programs online. Algorithms and rapid communications are also published.
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