论文标题
原油和汽油期货价格的市场微观结构的系统性风险：霍克斯羊群模型方法
Systemic Risk in Market Microstructure of Crude Oil and Gasoline Futures Prices: A Hawkes Flocking Model Approach
论文作者
论文摘要
我们提出了霍克斯羊群模型，该模型在两种观点（内生性和互动性）上评估高频过程中的系统风险。我们在过去十年中研究了WTI原油和汽油的期货市场，并以条件价值的风险作为基准措施进行比较分析。在高频结构方面，我们得出了经验发现。 WTI中内源性的全身风险明显高于汽油，而汽油影响WTI的水平不断高于相反情况。此外，尽管相对影响的程度不对称，但其差异逐渐降低。
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.
