Simultaneous multivariate Hawkes-type point processes and their application to financial markets
Simultaneous multivariate Hawkes-type point processes and their application to financial markets
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同时多元霍克斯型点过程及其在金融市场中的应用
DOI：
10.1007/s42081-018-0017-3
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发表时间：
2018
影响因子：
1.3
通讯作者：
Awaya Naoki
中科院分区：
文献类型：
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作者：
Kunitomo Naoto;Kurisu Daisuke;Awaya Naoki
在经济和金融时间序列中，我们有时会看到价格突然大幅上涨。尽管这些事件相对罕见，但它们不仅对特定的金融市场，而且对几个不同的市场和更广泛的宏观经济都有重大影响。利用同时霍克斯型多元点过程(ShPP)模型，可以分析大型事件从一个市场到其他市场的格兰杰非因果关系(GNC)和瞬时格兰杰非因果关系(IGNC)意义下的因果关系。我们调查了东京和其他主要市场的金融市场，并应用GNC检验来考察市场之间大型事件的相互依存关系。在金融市场和更广泛的宏观经济体中出现了几个重要的经验发现。
In economic and financial time series we sometimes observe sudden and large price jumps. Although these events are relatively rare, they have significant impacts on not only a given financial market but also several different markets and wider macro economies. Using simultaneous Hawkes-type multivariate point process (SHPP) models, it is possible to analyze the causal effects of large events in the sense of the Granger-non-causality (GNC) from one market to other markets as well as the instantaneous Granger-non-causality (IGNC). We investigate the financial market of Tokyo and other major markets, and apply GNC tests to investigate the interdependence of large events among markets. Several important empirical findings emerge among financial markets and wider macro economies.