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Disentangling and quantifying market participant volatility contributions

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1807.07036.pdf (336.2Kb)
Date
2019
Dewey
Analyse
Sujet
Volatility; Hawkes process; Agent-based model; High-frequency data; Agent behavior
JEL code
G.G1
Journal issue
Quantitative Finance
Volume
19
Number
10
Publication date
04-2019
Article pages
1613-1625
Publisher
Taylor & Francis
DOI
http://dx.doi.org/10.1080/14697688.2019.1591631
URI
https://basepub.dauphine.fr/handle/123456789/20220
Collections
  • CEREMADE : Publications
Metadata
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Author
Rambaldi, Marcello
60 CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Bacry, Emmanuel
60 CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Muzy, Jean-François
843 Sciences pour l'environnement [SPE]
Type
Article accepté pour publication ou publié
Abstract (EN)
Thanks to the access to labeled orders on the CAC 40 index future provided by Euronext, we are able to quantify market participants contributions to the volatility in the diffusive limit. To achieve this result, we leverage the branching properties of Hawkes point processes. We find that fast intermediaries (e.g. market maker type agents) have a smaller footprint on the volatility than slower, directional agents. The branching structure of Hawkes processes allows us to examine also the degree of endogeneity of each agent behavior, and we find that high-frequency traders are more endogenously driven than other types of agents.

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