文献类型：期刊文献

英文题名：Modeling aggressive market order placements with Hawkes factor models

作者：Xu, Hai-Chuan[1,2];Zhou, Wei-Xing[1,2,3]

机构：[1]East Chine Univ Sci & Technol, Res Ctr Econophys, Shanghai, Peoples R China;[2]East Chine Univ Sci & Technol, Dept Finance, Shanghai, Peoples R China;[3]East Chine Univ Sci & Technol, Dept Math, Shanghai, Peoples R China

年份：2020

卷号：15

期号：1

外文期刊名：PLOS ONE

收录：;WOS:【SSCI(收录号:WOS:000534350000023)，SCI-EXPANDED(收录号:WOS:000534350000023)】；

基金：This work was supported in part by the National Natural Science Foundation of China (71971081, U1811462 and 71501072) and the Fundamental Research Funds for the Central Universities.

语种：英文

摘要：Price changes are induced by aggressive market orders in stock market. We introduce a bivariate marked Hawkes process to model aggressive market order arrivals at the micro-structural level. The order arrival intensity is marked by an exogenous part and two endogenous processes reflecting the self-excitation and cross-excitation respectively. We calibrate the model for a Shenzhen Stock Exchange stock. We find that the exponential kernel with a smooth cut-off (i.e. the subtraction of two exponentials) produces much better calibration than the monotonous exponential kernel (i.e. the sum of two exponentials). The exogenous baseline intensity explains the U-shaped intraday pattern. Our empirical results show that the endogenous submission clustering is mainly caused by self-excitation rather than cross-excitation.