Marked Hawkes process modeling of price dynamics and volatility estimation

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• 作者：Kyungsub Lee^a ; ¹ ; ^{ksublee@yu.ac.kr} ; Byoung Ki Seo^b ; ^{bkseo@unist.ac.kr}
• 关键词：Tick price dynamics ; Marked Hawkes process ; Volatility ; Ultra-high-frequency data ; Impact of mark
• 刊名：Journal of Empirical Finance
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：40
• 期：Complete
• 页码：174-200
• 全文大小：1394 K
• 卷排序：40

文摘

We develop a marked Hawkes model to describe jumps and intensities in tick structure. We examine the dependence between the jumps of tick structure and ground intensities. Future intensities increase by the impact of the marks. The volatility under the Hawkes model has similar trend with realized volatility. There are biases in volatility when the underlying is unsymmetric or inhomogeneous.