Multi-kernel property in high-frequency price dynamics under Hawkes model
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arXiv
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| Format: | Preprint |
| Published: |
2023
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| _version_ | 1866913527976951808 |
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| author | Lee, Kyungsub |
| author_facet | Lee, Kyungsub |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2302_11822 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Multi-kernel property in high-frequency price dynamics under Hawkes model Lee, Kyungsub Statistical Finance Trading and Market Microstructure 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. |
| title | Multi-kernel property in high-frequency price dynamics under Hawkes model |
| topic | Statistical Finance Trading and Market Microstructure |
| url | https://arxiv.org/abs/2302.11822 |