论文标题
将权益交易网络建模为爆发过程
Modelling Equity Transaction Networks as Bursty Processes
论文作者
论文摘要
主要股票的贸易处决发生了一系列活动，这可能部分归因于系统内源性的自我激发。在本文中，我们研究了五项FTSE 100股票的交易报告。我们使用单变量和多变量霍克斯过程对交易对手之间的交易的动态进行建模，我们使用参数方法适合数据。我们发现，交易对手之间的交易频率增加了它们将来交易的可能性，并且单变量和多元霍克斯过程表现出希望，因为生成模型能够重现我们在现实世界中观察到的爆发，枢纽主导的系统。我们进一步表明，当被视为双变量过程时，霍克斯的过程在用于建模并通过中央清算对手进行建模和销售时表现良好，但是当这些过程将其建模为单个单变量过程时，这些市场在这些市场中都存在购买和销售之间的相互激励。
Trade executions for major stocks come in bursts of activity, which can be partly attributed to the presence of self- and mutual excitations endogenous to the system. In this paper, we study transaction reports for five FTSE 100 stocks. We model the dynamic of transactions between counterparties using both univariate and multivariate Hawkes processes, which we fit to the data using a parametric approach. We find that the frequency of transactions between counterparties increases the likelihood of them to transact in the future, and that univariate and multivariate Hawkes processes show promise as generative models able to reproduce the bursty, hub dominated systems that we observe in the real world. We further show that Hawkes processes perform well when used to model buys and sells through a central clearing counterparty when considered as a bivariate process, but not when these are modelled as individual univariate processes, indicating that mutual excitation between buys and sells is present in these markets.
