{"id":1120,"date":"2015-02-27T12:13:56","date_gmt":"2015-02-27T11:13:56","guid":{"rendered":"http:\/\/mathfinance.sns.it\/?p=1120"},"modified":"2018-02-27T12:14:49","modified_gmt":"2018-02-27T11:14:49","slug":"g-bormetti-l-m-calcagnile-m-treccani-f-corsi-s-marmi-f-lillomodelling-systemic-price-cojumps-with-hawkes-factor-models-quantitative-finance-15-7-1137-1156","status":"publish","type":"post","link":"http:\/\/mathfinance.sns.it\/index.php\/g-bormetti-l-m-calcagnile-m-treccani-f-corsi-s-marmi-f-lillomodelling-systemic-price-cojumps-with-hawkes-factor-models-quantitative-finance-15-7-1137-1156\/","title":{"rendered":"G. Bormetti, L. M.  Calcagnile, M. Treccani, F. Corsi, S. Marmi,  F. Lillo, <em>Modelling systemic price cojumps with Hawkes factor models <\/em>,  Quantitative Finance 15 (7), 1137-1156"},"content":{"rendered":"<p>Instabilities in the price dynamics of a large number of financial assets are a clear sign of<br \/>\nsystemic events. By investigating portfolios of highly liquid stocks, we find that there are a<br \/>\nlarge number of high-frequency cojumps. We show that the dynamics of these jumps is<br \/>\ndescribed neither by a multivariate Poisson nor by a multivariate Hawkes model. We<br \/>\nintroduce a Hawkes one-factor model which is able to capture simultaneously the time<br \/>\nclustering of jumps and the high synchronization of jumps across assets.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Instabilities in the price dynamics of a large number of financial assets are a clear sign of systemic events. By investigating portfolios of highly liquid stocks, we find that there are 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 [&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\/1120"}],"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=1120"}],"version-history":[{"count":2,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/1120\/revisions"}],"predecessor-version":[{"id":1122,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/1120\/revisions\/1122"}],"wp:attachment":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/media?parent=1120"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/categories?post=1120"},{"taxonomy":"post_tag","embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/tags?post=1120"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}