TY - JOUR
T1 - A slightly depressing jump model
T2 - intraday volatility pattern simulation
AU - Khashanah, Khaldoun
AU - Chen, Jing
AU - Hawkes, Alan
N1 - Publisher Copyright:
© 2017 Informa UK Limited, trading as Taylor & Francis Group.
PY - 2018/2/1
Y1 - 2018/2/1
N2 - Hawkes processes have been finding more applications in diverse areas of science, engineering and quantitative finance. In multi-frequency finance various phenomena have been observed, such as shocks, crashes, volatility clustering, turbulent flows and contagion. Hawkes processes have been proposed to model those challenging phenomena appearing across asset prices in various exchanges. The original Hawkes process is an intensity-based model for series of events with path dependence and self-exciting or mutual-exciting mechanisms. This paper introduces a slightly depressing process to model the reverse phenomenon of self-exciting mechanisms. Such a process models the decline in the intensity of jumps observed in market regimes. The proposed birth-immigration-death process captures the decline in jump intensity observed at the start of a daily trading regime while the classical immigration-birth process models an increase in jump intensity towards the close of daily trading. Each of these processes can be expressed as a special case of a simple bivariate Hawkes process.
AB - Hawkes processes have been finding more applications in diverse areas of science, engineering and quantitative finance. In multi-frequency finance various phenomena have been observed, such as shocks, crashes, volatility clustering, turbulent flows and contagion. Hawkes processes have been proposed to model those challenging phenomena appearing across asset prices in various exchanges. The original Hawkes process is an intensity-based model for series of events with path dependence and self-exciting or mutual-exciting mechanisms. This paper introduces a slightly depressing process to model the reverse phenomenon of self-exciting mechanisms. Such a process models the decline in the intensity of jumps observed in market regimes. The proposed birth-immigration-death process captures the decline in jump intensity observed at the start of a daily trading regime while the classical immigration-birth process models an increase in jump intensity towards the close of daily trading. Each of these processes can be expressed as a special case of a simple bivariate Hawkes process.
KW - Birth-death-immigration
KW - Financial series
KW - Hawkes process
KW - Intraday simulation
KW - Jump detection
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U2 - 10.1080/14697688.2017.1403139
DO - 10.1080/14697688.2017.1403139
M3 - Article
AN - SCOPUS:85038360635
SN - 1469-7688
VL - 18
SP - 213
EP - 224
JO - Quantitative Finance
JF - Quantitative Finance
IS - 2
ER -