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Multi-kernel property in high-frequency price dynamics under Hawkes model

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  • Lee Kyungsub

    (Department of Statistics, Yeungnam University, Gyeongsan, Republic of Korea)

Abstract

This study investigates and uses multi-kernel Hawkes models to describe a high-frequency mid-price process. Each kernel represents a different responsive speed of market participants. Using the conditional Hessian, we examine whether the numerical optimizer effectively finds the global maximum of the log-likelihood function under complicated modeling. Empirical studies that use stock prices in the US equity market show the existence of multi-kernels classified as ultra-high-frequency (UHF), very-high-frequency (VHF), and high-frequency (HF). We estimate the conditional expectations of arrival times and the degree of contribution to the high-frequency activities for each kernel.

Suggested Citation

  • Lee Kyungsub, 2024. "Multi-kernel property in high-frequency price dynamics under Hawkes model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(4), pages 605-624.
    • Handle: RePEc:bpj:sndecm:v:28:y:2024:i:4:p:605-624:n:1003
    DOI: 10.1515/snde-2022-0049
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    References listed on IDEAS

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