Instabilities in the price dynamics of a large number of financial assets are a clear sign of systemic events. By investigating a set of 20 high cap stocks traded at the Italian Stock Exchange, we find that there is a large number of multiple cojumps, i. e. minutes in which a sizable number of stocks displays a discontinuity of the price process. We show that the dynamics of these jumps is not described neither by a multivariate Poisson nor by a multivariate Hawkes model , which are unable to capture simultaneously the time clustering of jumps and the high synchronization of jumps across assets . We introduce a one factor model approach where both the factor and the idiosyncratic jump components are described by a Hawkes process. We introduce a robust calibration scheme which is able to distinguish systemic and idiosyncratic jumps and we show that the model reproduces very well the empirical behaviour of the jumps of the Italian stocks .
Instabilities in the price dynamics of a large number of financial assets are a clear sign of systemic events. By investigating a set of 20 high cap stocks traded at the Italian Stock Exchange, we find that there is a large number of high frequency cojumps. We show that the dynamics of these jumps is described neither by a multivariate Poisson nor by a multivariate Hawkes model . We introduce a Hawkes one factor model which is able to capture simultaneously the time clustering of jumps and the high synchronization of jumps across assets .
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multiple cojumps, i. e. minutes in which a sizable number of stocks displays a discontinuity of the price process.
high frequency cojumps.
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not
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, which are unable
. We introduce a Hawkes one factor model which is able
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. We introduce a one factor model approach where both the factor and the idiosyncratic jump components are described by a Hawkes process. We introduce a robust calibration scheme which is able to distinguish systemic and idiosyncratic jumps and we show that the model reproduces very well the empirical behaviour of the jumps of the Italian stocks