Modelling Systemic Price Cojumps with Hawkes Factor Models

30 Pages Posted: 31 Jan 2013 Last revised: 12 Mar 2013

See all articles by Giacomo Bormetti

Giacomo Bormetti

University of Bologna - Department of Mathematics

Lucio Maria Calcagnile

Scuola Normale Superiore; QUANTLab

Michele Treccani

List Group; QUANT Lab

Fulvio Corsi

University of Pisa - Department of Economics; City University London

Stefano Marmi

Scuola Normale Superiore

Fabrizio Lillo

Università di Bologna

Date Written: January 25, 2013

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.

Keywords: price cojumps, Hawkes processes, systemic shocks, high frequency data

JEL Classification: C32, C5, C51, G01, G10

Suggested Citation

Bormetti, Giacomo and Calcagnile, Lucio Maria and Treccani, Michele and Corsi, Fulvio and Marmi, Stefano and Lillo, Fabrizio, Modelling Systemic Price Cojumps with Hawkes Factor Models (January 25, 2013). Available at SSRN: https://ssrn.com/abstract=2209139 or http://dx.doi.org/10.2139/ssrn.2209139

Giacomo Bormetti (Contact Author)

University of Bologna - Department of Mathematics ( email )

Piazza di Porta S. Donato , 5
Bologna, Bologna 40126
Italy

Lucio Maria Calcagnile

Scuola Normale Superiore ( email )

Piazza dei Cavalieri, 7
Pisa, 56126
Italy

QUANTLab

Via Pietrasantina 123
Pisa, Pisa 56122
Italy

Michele Treccani

List Group ( email )

Via Pietrasantina 123
pisa, 56122
Italy

HOME PAGE: http://www.quantlab.it

QUANT Lab ( email )

Via Pietrasantina 123
Pisa, Pisa 56122
Italy

Fulvio Corsi

University of Pisa - Department of Economics ( email )

via Ridolfi 10
I-56100 Pisa, PI 56100
Italy

HOME PAGE: http://people.unipi.it/fulvio_corsi/

City University London ( email )

Northampton Square
London, EC1V OHB
United Kingdom

Stefano Marmi

Scuola Normale Superiore ( email )

Piazza dei Cavalieri, 7
Pisa, 56126
Italy
+39050509064 (Phone)
+39050563513 (Fax)

HOME PAGE: http://homepage.sns.it/marmi/

Fabrizio Lillo

Università di Bologna ( email )

Via Zamboni, 33
Bologna, 40126
Italy

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