论文标题
在观察过滤的高频价格过程中，鹰派波动的应用在刻度结构中
Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures
论文作者
论文摘要
霍克斯模型适合描述自我和相互激动的随机事件。 此外，霍克斯过程中的指数衰减使我们能够计算模型中的力矩属性。 但是，由于模型和公式的复杂性，很少对霍克斯波动性的性能进行研究。 在这项研究中，我们得出了一个方差公式，该方案直接适用于未标记和标记的霍克斯模型的一般设置，用于tick级价格动态。 在标记的模型中，考虑了线性冲击函数以及标记和基础过程之间的可能依赖性。 霍克斯的波动率用于以0.1秒的间隔过滤的中价过程，以显示可靠的结果； 此外，预计在实时风险管理中，预计将在实时风险管理方面具有很高的利用。 我们还注意到，随着时间的流逝，夏威夷鹰队波动的预测能力不断提高，并检查了期货与股票波动之间的关系。
The Hawkes model is suitable for describing self and mutually exciting random events. In addition, the exponential decay in the Hawkes process allows us to calculate the moment properties in the model. However, due to the complexity of the model and formula, few studies have been conducted on the performance of Hawkes volatility. In this study, we derived a variance formula that is directly applicable under the general settings of both unmarked and marked Hawkes models for tick-level price dynamics. In the marked model, the linear impact function and possible dependency between the marks and underlying processes are considered. The Hawkes volatility is applied to the mid-price process filtered at 0.1-second intervals to show reliable results; furthermore, intraday estimation is expected to have high utilization in real-time risk management. We also note the increasing predictive power of intraday Hawkes volatility over time and examine the relationship between futures and stock volatilities.
