Modelling systemic price cojumps with Hawkes factor models

The codes and the materials shared in this webpage have been used to obtain the results of the paper “Bormetti, G., Calcagnile, L. M., Treccani, M., Corsi, F., Marmi, S., & Lillo, F. (2015). Modelling systemic price cojumps with Hawkes factor models. Quantitative Finance, 15(7), 1137-1156.”

The link to this article: DOI

The work is in collaboration with LIST

LIST is a leading financial technology provider to the global trading community, including trading venues, market makers, brokers, asset managers, risk managers and compliance officers. LIST’s innovative turnkey products and delivery, driven by customers’ needs, together with a skilled and determined young team play a key role in supporting successful business growth in today’s volatile times. Continuous innovation and client partnerships around the globe have built trust and reliance on LIST’s unique real-time and data analytics capabilities.

You can find the R codes in

The sharing of the material is intended only for research reasons. Any other use needs to be approved before by the authors.