2015/05/04 by Lucio Maria Calcagnile, Giacomo Bormetti, Calcagnile, Lucio Maria +8
Biochemistry, Genetics and Molecular Biology · Economics, Econometrics and Finance · Environmental Science · #Complex Systems and Time Series Analysis #Diffusion and Search Dynamics #Ecosystem dynamics and resilience #FOS: Economics and business #Statistical Finance (q-fin.ST)
paper · pdf · doi:10.48550/arxiv.1505.00704
openalex publication_date 2015/05/04 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
Recent years have seen an unprecedented rise of the role that technology\nplays in all aspects of human activities. Unavoidably, technology has heavily\nentered the Capital Markets trading space, to the extent that all major\nexchanges are now trading exclusively using electronic platforms. The ultra\nfast speed of information processing, order placement, and cancelling generates\nnew dynamics which is still not completely deciphered. Analyzing a large\ndataset of stocks traded on the US markets, our study evidences that since 2001\nthe level of synchronization of large price movements across assets has\nsignificantly increased. Even though the total number of over-threshold events\nhas diminished in recent years, when an event occurs, the average number of\nassets swinging together has increased. Quite unexpectedly, only a minor\nfraction of these events -- regularly less than 40% along all years -- can be\nconnected with the release of pre-announced macroeconomic news. We also\ndocument that the larger is the level of sistemicity of an event, the larger is\nthe probability -- and degree of sistemicity -- that a new event will occur in\nthe near future. This opens the way to the intriguing idea that systemic events\nemerge as an effect of a purely endogenous mechanism. Consistently, we present\na high-dimensional, yet parsimonious, model based on a class of self- and\ncross-exciting processes, termed Hawkes processes, which reconciles the\nmodeling effort with the empirical evidence.\n