英文标题：
《Detection of intensity bursts using Hawkes processes: an application to
high frequency financial data》
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作者：
Marcello Rambaldi, Vladimir Filimonov, Fabrizio Lillo
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最新提交年份：
2016
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英文摘要：
Given a stationary point process, an intensity burst is defined as a short time period during which the number of counts is larger than the typical count rate. It might signal a local non-stationarity or the presence of an external perturbation to the system. In this paper we propose a novel procedure for the detection of intensity bursts within the Hawkes process framework. By using a model selection scheme we show that our procedure can be used to detect intensity bursts when both their occurrence time and their total number is unknown. Moreover, the initial time of the burst can be determined with a precision given by the typical inter-event time. We apply our methodology to the mid-price change in FX markets showing that these bursts are frequent and that only a relatively small fraction is associated to news arrival. We show lead-lag relations in intensity burst occurrence across different FX rates and we discuss their relation with price jumps.
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中文摘要：
给定一个固定点过程，强度突发被定义为计数次数大于典型计数率的短时间段。它可能表示局部非平稳性或系统存在外部扰动。在本文中，我们提出了一种在霍克斯过程框架内检测强度爆发的新方法。通过使用模型选择方案，我们表明，当强度爆发的发生时间和总数都未知时，我们的方法可以用于检测强度爆发。此外，突发的初始时间可以用典型事件间时间给出的精度来确定。我们将我们的方法应用于外汇市场的中间价格变化，结果表明，这些突发事件非常频繁，只有相对较小的一部分与新闻的到来有关。我们展示了不同汇率下强度爆发的超前-滞后关系，并讨论了它们与价格跳跃的关系。
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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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一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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