英文标题：
《Modeling FX market activity around macroeconomic news: a Hawkes process
approach》
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作者：
Marcello Rambaldi, Paris Pennesi, Fabrizio Lillo
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最新提交年份：
2014
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英文摘要：
We present a Hawkes model approach to foreign exchange market in which the high frequency price dynamics is affected by a self exciting mechanism and an exogenous component, generated by the pre-announced arrival of macroeconomic news. By focusing on time windows around the news announcement, we find that the model is able to capture the increase of trading activity after the news, both when the news has a sizeable effect on volatility and when this effect is negligible, either because the news in not important or because the announcement is in line with the forecast by analysts. We extend the model by considering non-causal effects, due to the fact that the existence of the news (but not its content) is known by the market before the announcement.
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中文摘要：
我们提出了外汇市场的霍克斯模型方法，其中高频价格动态受到自激机制和外部因素的影响，外部因素是由预先宣布的宏观经济消息的到来产生的。通过关注新闻发布前后的时间窗口，我们发现该模型能够捕捉到新闻发布后交易活动的增加，无论是当新闻对波动性有相当大的影响时，还是当这种影响可以忽略时，无论是因为新闻不重要，还是因为新闻发布与分析师的预测一致。我们通过考虑非因果效应对模型进行了扩展，因为在公告之前，市场已经知道新闻的存在（但不是其内容）。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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