点过程的无界强度模型

IF 9.9 3区 经济学 Q1 ECONOMICS
Kim Christensen , Aleksey Kolokolov
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引用次数: 0

摘要

我们为实线上的点过程建立了一个模型,在这个模型中,强度可以是局部无界的,而不会引起爆炸。有序点过程在短时间间隔内观察到一个以上事件的概率可以忽略不计,与此不同的是,爆发强度会导致奇点周围事件的极端聚集。我们提出了一种非参数方法来检测这种突发强度。这种方法依赖于大流量条件,它允许对有限时间间隔内的点过程进行推理。通过蒙特卡罗证据,我们证明了我们的检测程序在空值条件下表现出了规模控制,而在备择条件下则具有很高的拒绝率。我们在欧元/美元即期汇率的高频数据上实施了我们的方法,其中的检验统计量捕捉了交易活动中的异常激增。我们在这些数据中检测到了非数量级的强度突变,并描述了它们的基本特性。强度突变期间的交易活动与波动性、流动性不足以及观察到漂移突变的概率呈正相关。如果订单流不平衡或限价订单簿的价格弹性较大,后一种效应就会加强。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
An unbounded intensity model for point processes

We develop a model for point processes on the real line, where the intensity can be locally unbounded without inducing an explosion. In contrast to an orderly point process, for which the probability of observing more than one event over a short time interval is negligible, the bursting intensity causes an extreme clustering of events around the singularity. We propose a nonparametric approach to detect such bursts in the intensity. It relies on a heavy traffic condition, which admits inference for point processes over a finite time interval. With Monte Carlo evidence, we show that our testing procedure exhibits size control under the null, whereas it has high rejection rates under the alternative. We implement our approach on high-frequency data for the EUR/USD spot exchange rate, where the test statistic captures abnormal surges in trading activity. We detect a nontrivial amount of intensity bursts in these data and describe their basic properties. Trading activity during an intensity burst is positively related to volatility, illiquidity, and the probability of observing a drift burst. The latter effect is reinforced if the order flow is imbalanced or the price elasticity of the limit order book is large.

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来源期刊
Journal of Econometrics
Journal of Econometrics 社会科学-数学跨学科应用
CiteScore
8.60
自引率
1.60%
发文量
220
审稿时长
3-8 weeks
期刊介绍: The Journal of Econometrics serves as an outlet for important, high quality, new research in both theoretical and applied econometrics. The scope of the Journal includes papers dealing with identification, estimation, testing, decision, and prediction issues encountered in economic research. Classical Bayesian statistics, and machine learning methods, are decidedly within the range of the Journal''s interests. The Annals of Econometrics is a supplement to the Journal of Econometrics.
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