Correlation and Lead-Lag Relationships in a Hawkes Microstructure Model

Autor:	Riadh Zaatour, José Da Fonseca
Rok vydání:	2014
Předmět:	Correlation Index (economics) Geography Relation (database) Covariance matrix Econometrics Asset (economics) Limit (mathematics) Lead–lag compensator Futures contract
Zdroj:	SSRN Electronic Journal.
ISSN:	1556-5068
DOI:	10.2139/ssrn.2506845
Popis:	The aim of this paper is to develop a multi-asset model based on the Hawkes process describing the evolution of assets at high frequency and to study the lead-lag relationship as well as the correlation between the stocks within this framework. Thanks to its strong analytical tractability several statistical quantities are explicitly computed and give some insight on the impact of the model parameters on these quantities. Furthermore, we compute the covariance matrix associated with the diffusive limit of the model so that the relation between the parameters driving the asset at high and low frequencies is explicit. We illustrate our results using index futures and stocks quoted in the Eurex market. The model can capture the existing lead-lag relationship between the assets.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::7a8f0fcb611c8f8961b7a9a87fea36d2 https://doi.org/10.2139/ssrn.2506845 Zobrazit plný text záznamu