arXiv q-fin· Hyoeun Lee·· 6 hr agoAI Score50
Event Definition and Branching Ratio: Estimating Hawkes Price Change Clustering from Consolidated Quotes
Event definition and the branching ratio: Hawkes estimates of price-change clustering in the consolidated quote feed
AI summary
A Hawkes model study of price changes in U.S. consolidated quotes finds that the sub-millisecond kernel component of large-tick stocks arises from quote construction mechanisms. Half of NBBO changes are locked or exhausted quotes that are corrected within 1 millisecond, and are misidentified by the model as excitation.
Source:arXiv q-fin · arxiv.org