CAJ | 학술논문

Hawkes自激发过程是近年来被广泛用于金融建模的一个良好模型。本文提出了一种Hawkes自激发过程的分支比的简单估计方法,该方法是对Hardiman和Bouchaud提出的均值-方差估计量的改进。在继承均值-方差估计量形式简便的优点的同时,克服其参数难以选择的缺陷,减小了估计的系统性偏差。模拟结果验证了改进的效果,同时我们将该估计方法用于我国股市内生性水平的分析之中。
Hawkes자격발과정시근년래피엄범용우금융건모적일개량호모형。본문제출료일충Hawkes자격발과정적분지비적간단고계방법,해방법시대Hardiman화Bouchaud제출적균치-방차고계량적개진。재계승균치-방차고계량형식간편적우점적동시,극복기삼수난이선택적결함,감소료고계적계통성편차。모의결과험증료개진적효과,동시아문장해고계방법용우아국고시내생성수평적분석지중。
The self-exciting Hawkes process is a good model used widely in the field of financial modeling in recent years. We propose a simple approximation for the branching ratio of the self-exciting Hawkes process,which is an improvement based on the mean-variance estimator introduced by Hardiman and Bouchaud. The novel approach keeps the advantage of great simplicity as the mean-variance estimator, overcomes its difficulty of parameter selection, and furthermore reduces systematic biases. We perform simulations to verify the effect of our estimator and apply our method to study the level of endogeneity of the Chinese stock markets.