Modelling illiquidity spillovers with Hawkes processes: an application to the sovereign bond market
提出一种峰值超过阈值的方法，从限价订单簿数据中识别流动性骤降事件，并用多元霍克斯过程建模这些事件的时间序列，量化同一资产内的非流动性螺旋和跨资产的非流动性溢出，应用于MTS主权债券市场发现两者均显著，且溢出解释的冲击比例在2011至2015年翻倍。
Modelling the dynamics of (il)liquidity across assets is an important yet complicated task, especially when considering significant deteriorations of liquidity conditions. Here, we propose a peak-over-threshold method to identify abrupt liquidity drops from limit order book data and we model the time-series of these illiquidity events across multiple assets as a multivariate Hawkes process. This allows us to quantify both the self-excitation of extreme changes of liquidity in the same asset (illiquidity spirals) and the cross-excitation across different assets (illiquidity spillovers). Applying the method to the MTS sovereign bond market, we find significant evidence for both illiquidity spillovers and spirals. The proportion of shocks explained by illiquidity spillovers roughly doubles from 2011 to 2015, suggesting an increased synchronization of extreme illiquidity across assets.