Hawkes Processes: A Modeling of the Offer Book in the Brazilian Stock Market

Authors

  • Yuri Sampaio Maluf
  • Cira Guevara Otiniano

DOI:

https://doi.org/10.17268/sel.mat.2017.01.05

Keywords:

Point processes, Hawkes Process, Book of Offer, ETF

Abstract

This paper discusses the Hawkes process to modeling of the offering book, especially the ETF it iShare Ibovespa index fund. The study aimed to investigate the dynamics of the influences of the offers in relation to the past orders. We study too to the interaction of the order rates of the opposing sides of the Book. Another point addressed is the verification of the operating strategy that captures the dynamics studied. At the first moment, the univariate approach was performed and in the second moment the multivariate of the Hawkes process. The results show that in both cases the Hawkes process it fits well to the data. The fit model indicates that agents have similar behaviors when they act as buyers or sellers of assets. As for the strategy, it was not possible to establish spare gains from changes in bid rates. However, these results are due to the it bid-ask spread more that the predictive capacity of the functions.

References

D. R. Cox, and V. Ishan. Point Process, Chapman Hall/CRC, 1980.

D. J. Daley and D. Vere-Jones. An Introduction to the Theory of Point Processes, Vol 1, Springer, 2002.

Y. Ogata. The asymptotic behaviour of maximum likelihood estimators for stationary point process, Annals of the Institute of Statistical Mathematics, 30 (1978), pp. 243-261.

H. Shek. Modeling high frequency market order dynamics using self-excited point process, Working Paper, SSRN 1668160, 2011.

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Published

2017-07-13

How to Cite

Sampaio Maluf, Y., & Guevara Otiniano, C. (2017). Hawkes Processes: A Modeling of the Offer Book in the Brazilian Stock Market. Selecciones Matemáticas, 4(01), 38-50. https://doi.org/10.17268/sel.mat.2017.01.05

Issue

Vol. 4 No. 01 (2017): January - July

Section

Articles

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