LES RENCONTRES DES CHAIRES FBF : Détection et modélisation des instabilités des marchés financiers à haute fréquence

Intervenant : Prof. Fabrizio LILLO, Associate Professor in Mathematical Finance, Scuola Normale Superiore, Pisa, Italie

Résumé : Detecting and modeling market instabilities at high frequency Financial markets experience a large frequency of instabilities in price and volatility at high frequency and their detection and modeling is challenging. I discuss some recent advancements in this topic by considering two aspects. First I show how to model the the dynamics of jumps of a large portfolio of assets by using a Hawkes one-factor model which is able to capture simultaneously the time clustering of jumps and the high synchronization of jumps across assets. I also show that in the last 15 years the level of synchronization of large price movements across assets has significantly increased, even though the total number of events has diminished. Second I present a novel procedure for the detection of localized bursts of intensity of a point process. The method is able to determine the initial time of the burst with a precision given by the typical inter-event time. The application to the mid-price change in FX markets shows that these bursts are frequent and that only a relatively small fraction is associated to news arrival. I show lead-lag relations in intensity burst occurrence across different FX rates and I discuss their relation with price jumps.

La présentation sera faite en anglais et suivie d’un débat avec les participants.

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