Multivariate quadratic Hawkes processes—part I: theoretical analysis
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Publication:6158435
Abstract: Quadratic Hawkes (QHawkes) processes have proved effective at reproducing the statistics of price changes, capturing many of the stylised facts of financial markets. Motivated by the recently reported strong occurrence of endogenous co-jumps (simultaneous price jumps of several assets) we extend QHawkes to a multivariate framework (MQHawkes), that is considering several financial assets and their interactions. Assuming that quadratic kernels write as the sum of a time-diagonal component and a rank one (trend) contribution, we investigate endogeneity ratios and the resulting stationarity conditions. We then derive the so-called Yule-Walker equations relating covariances and feedback kernels, which are essential to calibrate the MQHawkes process on empirical data. Finally, we investigate the volatility distribution of the process and find that, as in the univariate case, it exhibits power-law behavior, with an exponent that can be exactly computed in some limiting cases.
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- Multivariate Hawkes process allowing for common shocks
- On the cumulant transforms for Hawkes processes
- Classification of flash crashes using the Hawkes \(p,q\) framework
- Testing the causality of Hawkes processes with time reversal
- The endo-exo problem in high frequency financial price fluctuations and rejecting criticality
- Simultaneous multivariate Hawkes-type point processes and their application to financial markets
- Quadratic Hawkes processes for financial prices
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