Shi Feng, Broussard John Paul, Booth G Geoffrey
University of North Carolina, Chapel Hill, NC USA.
University of Oklahoma, Norman, OK USA.
J Econ Interact Coord. 2022 Jan 4:1-40. doi: 10.1007/s11403-021-00343-4.
This paper uses multivariate Hawkes processes to model the transactions behavior of the US stock market as measured by the 30 Dow Jones Industrial Average individual stocks before, during and after the 36-min May 6, 2010, Flash Crash. The basis for our analysis is the excitation matrix, which describes a complex network of interactions among the stocks. Using high-frequency transactions data, we find strong evidence of self- and asymmetrically cross-induced contagion and the presence of fragmented trading venues. Our findings have implications for stock trading and corresponding risk management strategies as well as stock market microstructure design.
本文使用多元霍克斯过程对2010年5月6日“闪电崩盘”36分钟期间及前后，以30只道琼斯工业平均指数成分股衡量的美国股票市场交易行为进行建模。我们分析的基础是激发矩阵，它描述了股票之间复杂的相互作用网络。利用高频交易数据，我们发现了自我和不对称交叉诱发传染的有力证据，以及碎片化交易场所的存在。我们的研究结果对股票交易及相应的风险管理策略以及股票市场微观结构设计具有启示意义。
