英文标题：
《Collective synchronization and high frequency systemic instabilities in
  financial markets》
---
作者：
Lucio Maria Calcagnile, Giacomo Bormetti, Michele Treccani, Stefano
  Marmi, Fabrizio Lillo
---
最新提交年份：
2015
---
英文摘要：
  Recent years have seen an unprecedented rise of the role that technology plays in all aspects of human activities. Unavoidably, technology has heavily entered the Capital Markets trading space, to the extent that all major exchanges are now trading exclusively using electronic platforms. The ultra fast speed of information processing, order placement, and cancelling generates new dynamics which is still not completely deciphered. Analyzing a large dataset of stocks traded on the US markets, our study evidences that since 2001 the level of synchronization of large price movements across assets has significantly increased. Even though the total number of over-threshold events has diminished in recent years, when an event occurs, the average number of assets swinging together has increased. Quite unexpectedly, only a minor fraction of these events -- regularly less than 40% along all years -- can be connected with the release of pre-announced macroeconomic news. We also document that the larger is the level of sistemicity of an event, the larger is the probability -- and degree of sistemicity -- that a new event will occur in the near future. This opens the way to the intriguing idea that systemic events emerge as an effect of a purely endogenous mechanism. Consistently, we present a high-dimensional, yet parsimonious, model based on a class of self- and cross-exciting processes, termed Hawkes processes, which reconciles the modeling effort with the empirical evidence.
---
中文摘要：
近年来，技术在人类活动的各个方面所起的作用空前上升。不可避免地，技术已经大量进入资本市场的交易空间，以至于所有主要交易所现在都完全使用电子平台进行交易。信息处理、订单安排和取消的极快速度产生了新的动态，但仍无法完全破译。通过分析在美国市场上交易的大量股票数据，我们的研究证明，自2001年以来，各资产之间大规模价格波动的同步水平显著提高。尽管近年来超过阈值的事件总数有所减少，但当一个事件发生时，一起摇摆的资产的平均数量增加了。出人意料的是，这些事件中只有一小部分——多年来通常不到40%——与预先公布的宏观经济新闻的发布有关。我们还记录了一个事件的姐妹性水平越高，一个新事件在不久的将来发生的可能性和姐妹性程度就越大。这为一个有趣的想法开辟了道路，即系统性事件是纯粹内生机制的结果。一直以来，我们提出了一个高维的、但很简洁的模型，该模型基于一类自我激励和交叉激励过程，称为霍克斯过程，该过程将建模工作与经验证据相协调。
---
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
--

---
PDF下载：
-->