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    Leverage Effect & Rough Volatility: Hawkes Process + Market Prices

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    jun
    This document discusses algorithmic trading and high-frequency trading (HFT). It presents a model that uses multiple regression analysis and stochastic processes like Hawkes processes to analyze the impact of HFT on market metrics like profitability, liquidity, and price efficiency, while also accounting for factors such as leverage effect, volatility, and the presence of large metaorders. The goal is to build a simple microscopic model of how HFT influences these aspects of market quality and behavior.

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    Leverage Effect & Rough Volatility: Hawkes Process + Market Prices

    Uploaded by

    jun
    6 views2 pages
    This document discusses algorithmic trading and high-frequency trading (HFT). It presents a model that uses multiple regression analysis and stochastic processes like Hawkes processes to analyze the impact of HFT on market metrics like profitability, liquidity, and price efficiency, while also accounting for factors such as leverage effect, volatility, and the presence of large metaorders. The goal is to build a simple microscopic model of how HFT influences these aspects of market quality and behavior.

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    This document discusses algorithmic trading and high-frequency trading (HFT). It presents a model that uses multiple regression analysis and stochastic processes like Hawkes processes to analyze the impact of HFT on market metrics like profitability, liquidity, and price efficiency, while also accounting for factors such as leverage effect, volatility, and the presence of large metaorders. The goal is to build a simple microscopic model of how HFT influences these aspects of market quality and behavior.

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    6 views2 pages

    Leverage Effect & Rough Volatility: Hawkes Process + Market Prices

    Uploaded by

    jun
    This document discusses algorithmic trading and high-frequency trading (HFT). It presents a model that uses multiple regression analysis and stochastic processes like Hawkes processes to analyze the impact of HFT on market metrics like profitability, liquidity, and price efficiency, while also accounting for factors such as leverage effect, volatility, and the presence of large metaorders. The goal is to build a simple microscopic model of how HFT influences these aspects of market quality and behavior.

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 2

    Algorithmic Trading

    HFT
    +

    Multiple Regression Analysis

    Profitability Liquidity Price Eficiency Volatility

    High degree of
    Endogeneity of
    market

    No-arbitrage
    property Heston Leverage Effect
    Stochastic
    Simple Microskopic Model
    Model
    Buying/selling &
    asymetry

    Hawkes Process Rough Volatility


    + Market Prices
    Presence of
    metaorders
    High degree of
    Endogeneity of
    market H1 Profitability

    No-arbitrage
    H5
    property H2

    Liquidity
    HFT H6
    Buying/selling H3

    asymetry H4 H7
    Price Eficiency

    Presence of
    metaorders

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