论文标题
使用扩展的霍克斯流程及其对高频股票市场数据的经验应用进行建模和询问价格动态
Modeling bid and ask price dynamics with an extended Hawkes process and its empirical applications for high-frequency stock market data
论文作者
论文摘要
这项研究提出了一个多功能模型，用于最佳出价动态，并使用扩展的霍克斯流程提出价格。该模型在最小出价扩散，扩散依赖性强度，可能的负兴奋和非负强度的情况下结合了扩散过程的零强度。我们将模型应用于最佳高频出价，并从美国股市询问价格数据。经验发现表明，通过以前事件引起的强度的激发，闪存崩溃的影响，快速交易的特征趋势以及各种交流中市场参与者的不同特征。
This study proposes a versatile model for the dynamics of the best bid and ask prices using an extended Hawkes process. The model incorporates the zero intensities of the spread-narrowing processes at the minimum bid-ask spread, spread-dependent intensities, possible negative excitement, and nonnegative intensities. We apply the model to high-frequency best bid and ask price data from US stock markets. The empirical findings demonstrate a spread-narrowing tendency, excitations of the intensities caused by previous events, the impact of flash crashes, characteristic trends in fast trading over time, and the different features of market participants in the various exchanges.
