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Systemic Risk in Market Microstructure of Crude Oil and Gasoline Futures Prices: A Hawkes Flocking Model Approach

Hyun Jin Jang, Kiseop Lee and Kyungsub Lee ()

Papers from arXiv.org

Abstract: We propose the Hawkes flocking model that assesses systemic risk in high-frequency processes at the two perspectives -- endogeneity and interactivity. We examine the futures markets of WTI crude oil and gasoline for the past decade, and perform a comparative analysis with conditional value-at-risk as a benchmark measure. In terms of high-frequency structure, we derive the empirical findings. The endogenous systemic risk in WTI was significantly higher than that in gasoline, and the level at which gasoline affects WTI was constantly higher than in the opposite case. Moreover, although the relative influence's degree was asymmetric, its difference has gradually reduced.

Date: 2020-12
New Economics Papers: this item is included in nep-cwa, nep-ene, nep-mst and nep-rmg
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Published in Journal of Futures Markets, 40, 2020, 247-275

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Journal Article: Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approach (2020) Downloads
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