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• W762641207 abstract "The aim of this paper is to develop a multi-asset model based on the Hawkes process describing the evolution of assets at high frequency and to study the lead-lag relationship as well as the correlation between the stocks within this framework. Thanks to its strong analytical tractability several statistical quantities are explicitly computed and give some insight on the impact of the model parameters on these quantities. Furthermore, we compute the covariance matrix associated with the diffusive limit of the model so that the relation between the parameters driving the asset at high and low frequencies is explicit. We illustrate our results using index futures and stocks quoted in the Eurex market. The model can capture the existing lead-lag relationship between the assets." @default.
• W762641207 created "2016-06-24" @default.
• W762641207 creator A5019285569 @default.
• W762641207 creator A5035617757 @default.
• W762641207 date "2014-01-01" @default.
• W762641207 modified "2023-09-27" @default.
• W762641207 title "Correlation and Lead-Lag Relationships in a Hawkes Microstructure Model" @default.
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• W762641207 doi "https://doi.org/10.2139/ssrn.2506845" @default.
• W762641207 hasPublicationYear "2014" @default.
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