摘要翻译：
我们引入了一个新的金融市场活动的度量，它提供了一个直接进入其内生性水平的途径。这一衡量标准量化了价格变化有多大程度上是由于内生反馈过程，而不是外生消息。为此，我们将自激条件Poisson Hawkes模型校正到1998-2010年芝加哥商品交易所交易的E-mini标准普尔500期货合约上，该模型以自然而简洁的方式将外生影响与自激动力学结合起来。我们发现，1998~2010年间，价格变动的内生性水平显著提高，1998年只有70%的价格变动是由某些外生信息所引起的，2007年以来不到30%的价格变动是由外生信息所引起的。类似于避免“临界”的核电站安全，我们的措施提供了金融市场到临界状态的距离的直接量化，临界状态精确定义为在没有任何外部驱动的情况下分散交易活动的极限。
---
英文标题：
《Quantifying reflexivity in financial markets: towards a prediction of
  flash crashes》
---
作者：
Vladimir Filimonov, Didier Sornette
---
最新提交年份：
2012
---
分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
--
一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
--

---
英文摘要：
  We introduce a new measure of activity of financial markets that provides a direct access to their level of endogeneity. This measure quantifies how much of price changes are due to endogenous feedback processes, as opposed to exogenous news. For this, we calibrate the self-excited conditional Poisson Hawkes model, which combines in a natural and parsimonious way exogenous influences with self-excited dynamics, to the E-mini S&P 500 futures contracts traded in the Chicago Mercantile Exchange from 1998 to 2010. We find that the level of endogeneity has increased significantly from 1998 to 2010, with only 70% in 1998 to less than 30% since 2007 of the price changes resulting from some revealed exogenous information. Analogous to nuclear plant safety concerned with avoiding "criticality", our measure provides a direct quantification of the distance of the financial market to a critical state defined precisely as the limit of diverging trading activity in absence of any external driving.
---
PDF链接：
https://arxiv.org/pdf/1201.3572