英文标题：
《Modeling microstructure price dynamics with symmetric Hawkes and
diffusion model using ultra-high-frequency stock data》
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作者：
Kyungsub Lee and Byoung Ki Seo
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最新提交年份：
2019
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英文摘要：
This study examine the theoretical and empirical perspectives of the symmetric Hawkes model of the price tick structure. Combined with the maximum likelihood estimation, the model provides a proper method of volatility estimation specialized in ultra-high-frequency analysis. Empirical studies based on the model using the ultra-high-frequency data of stocks in the S\\&P 500 are performed. The performance of the volatility measure, intraday estimation, and the dynamics of the parameters are discussed. A new approach of diffusion analogy to the symmetric Hawkes model is proposed with the distributional properties very close to the Hawkes model. As a diffusion process, the model provides more analytical simplicity when computing the variance formula, incorporating skewness and examining the probabilistic property. An estimation of the diffusion model is performed using the simulated maximum likelihood method and shows similar patterns to the Hawkes model.
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中文摘要：
这项研究检验了对称霍克斯价格上涨结构模型的理论和实证观点。结合最大似然估计，该模型提供了一种适合于超高频分析的波动率估计方法。利用标准普尔500指数股票的超高频数据，基于该模型进行了实证研究。讨论了波动率测度的性能、日内估计和参数的动态性。提出了一种新的对称Hawkes模型扩散类比方法，其分布性质与Hawkes模型非常接近。作为一个扩散过程，该模型在计算方差公式、合并偏度和检查概率特性时提供了更简单的分析。使用模拟最大似然法对扩散模型进行估计，并显示出与霍克斯模型相似的模式。
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分类信息：

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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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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