Hawkes processes for credit indices time series analysis: How random are trades arrival times?

Achraf Bahamou, Maud Doumergue and Philippe Donnat

Papers from arXiv.org

Abstract: Targeting a better understanding of credit market dynamics, the authors have studied a stochastic model named the Hawkes process. Describing trades arrival times, this kind of model allows for the capture of self-excitement and mutual interactions phenomena. The authors propose here a simple yet conclusive method for fitting multidimensional Hawkes processes with exponential kernels, based on a maximum likelihood non-convex optimization. The method was successfully tested on simulated data, then used on new publicly available real trading data for three European credit indices, thus enabling quantification of self-excitement as well as volume impacts or cross indices influences.

Date: 2019-02
New Economics Papers: this item is included in nep-ets and nep-mst
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Published in Proceedings - International Conference on Time Series and Forecasting, ITISE 2018. Granada: University of Granada, pp. 1178-1192

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1902.03714

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