英文标题：
《Modeling aggressive market order placements with Hawkes factor models》
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作者：
Hai-Chuan Xu and Wei-Xing Zhou
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最新提交年份：
2018
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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 microstructural 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 an SSE 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.
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中文摘要：
股价变动是由股票市场中激进的市场指令引起的。我们引入了一个双变量标记的霍克斯过程来模拟微观结构层面的激进市场订单到达。订单到达强度以一个外生部分和两个内生过程为标志，分别反映自激和交叉激励。我们对上证综指股票的模型进行了校准。我们发现，具有平滑截止点的指数核（即两个指数的相减）比单调指数核（即两个指数的和）产生更好的校准。外源性基线强度解释了美元型日内模式。我们的实证结果表明，内生提交聚类主要由自激而非交叉激励引起。
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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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