{"id":1110,"date":"2018-02-27T12:02:51","date_gmt":"2018-02-27T11:02:51","guid":{"rendered":"http:\/\/mathfinance.sns.it\/?p=1110"},"modified":"2018-02-27T12:03:23","modified_gmt":"2018-02-27T11:03:23","slug":"l-m-calcagnile-g-bormetti-m-treccani-s-marmi-f-lillocollective-synchronization-and-high-frequency-systemic-instabilities-in-financial-markets-quantitative-finance-18-2-237-247","status":"publish","type":"post","link":"http:\/\/mathfinance.sns.it\/index.php\/l-m-calcagnile-g-bormetti-m-treccani-s-marmi-f-lillocollective-synchronization-and-high-frequency-systemic-instabilities-in-financial-markets-quantitative-finance-18-2-237-247\/","title":{"rendered":"L.M. Calcagnile, G. Bormetti, M. Treccani, S. Marmi, F. Lillo, <em>Collective synchronization and high frequency systemic instabilities in financial markets<\/em>, Quantitative Finance 18 (2), 237-247"},"content":{"rendered":"<p>We present some empirical evidence on the dynamics of price instabilities in financial markets and propose a new Hawkes modelling approach. Specifically, analysing the recent high frequency dynamics of a set of US stocks, we find that since 2001 the level of synchronization of large price movements across assets has significantly increased. We find that only a minor fraction of these systemic events can be connected with the release of pre-announced macroeconomic news. Finally, the larger is the multiplicity of the event\u2014i.e. how many assets have swung together\u2014the larger is the probability of a new event occurring in the near future, as well as its multiplicity. To reproduce these facts, due to the self- and cross-exciting nature of the event dynamics, we propose an approach based on Hawkes processes. For each event, we directly model the multiplicity as a multivariate point process, neglecting the identity of the specific assets. This allows us to introduce a parsimonious parametrization of the kernel of the process and to achieve a reliable description of the dynamics of large price movements for a high-dimensional portfolio.<\/p>\n<p>https:\/\/doi.org\/10.1080\/14697688.2017.1403141<\/p>\n","protected":false},"excerpt":{"rendered":"<p>We present some empirical evidence on the dynamics of price instabilities in financial markets and propose a new Hawkes modelling approach. Specifically, analysing the recent high frequency dynamics of a set of US stocks, we find that since 2001 the level of synchronization of large price movements across assets has significantly increased. We find that [&hellip;]<\/p>\n","protected":false},"author":7,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":[],"categories":[5],"tags":[],"_links":{"self":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/1110"}],"collection":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/users\/7"}],"replies":[{"embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/comments?post=1110"}],"version-history":[{"count":2,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/1110\/revisions"}],"predecessor-version":[{"id":1112,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/1110\/revisions\/1112"}],"wp:attachment":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/media?parent=1110"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/categories?post=1110"},{"taxonomy":"post_tag","embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/tags?post=1110"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}