scholarly journals Regenerative properties of the linear Hawkes process with unbounded memory

2021 ◽  
Vol 31 (6) ◽  
Carl Graham
Jeroen Verheugd ◽  
Paulo R de Oliveira da Costa ◽  
Reza Refaei Afshar ◽  
Yingqian Zhang ◽  
Sjoerd Boersma

2021 ◽  
Vol 08 (01) ◽  
pp. 2050054
Sugato Chakravarty ◽  
Kiseop Lee ◽  
Yang Xi

We propose a multivariate Hawkes process to model the interaction between the non-high frequency traders (NHFTs) behavior (Buy and sell) and high frequency traders (HFTs) behavior (Buy and sell). We apply our model to the intraday transaction data of the public sector banks stock in India, which is sampled from March 2012 to June 2012. We find that the mutually-exciting NHFT and HFT behaviors benefit the stocks, which have better average return above the average return of the public sector bank index. We further identify the granger causality relationship for mutually exciting dominating stocks that HFTs activities cause the activities of NHFTs. In other words, NHFTs are market followers in those stocks.

2021 ◽  
Lu-ning Zhang ◽  
Jian-wei Liu ◽  
Zhi-yan Song ◽  
Xin Zuo ◽  
Wei-min Li ◽  

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