Correlation and Lead–Lag Relationships in a Hawkes Microstructure Model
基于霍克斯过程构建多资产高频模型，研究资产间的领先滞后关系与相关性，并利用Eurex市场数据验证模型效果。
Abstract The aim of this paper is to develop a multi‐asset model based on the Hawkes process describing the evolution of assets at high frequency and to study the lead–lag relationship as well as the correlation between the assets within this framework. We compute several statistical quantities and the covariance matrix associated with the diffusive limit of the model so that the relation between the parameters driving the assets at high and low frequencies is explicit. We illustrate the results using several financial assets quoted in the Eurex market and show how the model captures the lead–lag relationship between them. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:260–285, 2017