Self-Exciting Processes

Analysis of Contagion in China’s Stock Market: A Hawkes Process Perspective ArXiv ID: 2512.08000 “View on arXiv” Authors: Junwei Yang Abstract This study explores contagion in the Chinese stock market using Hawkes processes to analyze autocorrelation and cross-correlation in multivariate time series data. We examine whether market indices exhibit trending behavior and whether sector indices influence one another. By fitting self-exciting and inhibitory Hawkes processes to daily returns of indices like the Shanghai Composite, Shenzhen Component, and ChiNext, as well as sector indices (CSI Consumer, Healthcare, and Financial), we identify long-term dependencies and trending patterns, including upward, downward, and oversold rebound trends. Results show that during high trading activity, sector indices tend to sustain their trends, while low activity periods exhibit strong sector rotation. This research models stock price movements using spatiotemporal Hawkes processes, leveraging conditional intensity functions to explain sector rotation, advancing the understanding of financial contagion. ...

Investigating Short-Term Dynamics in Green Bond Markets ArXiv ID: 2308.12179 “View on arXiv” Authors: Unknown Abstract The paper investigates the effect of the label green in bond markets from the lens of the trading activity. The idea is that jumps in the dynamics of returns have a specific memory nature that can be well represented through a self-exciting process. Specifically, using Hawkes processes where the intensity is described through a continuous time moving average model, we study the high-frequency dynamics of bond prices. We also introduce a bivariate extension of the model that deals with the cross-effect of upward and downward price movements. Empirical results suggest that differences emerge if we consider periods with relevant interest rate announcements, especially in the case of an issuer operating in the energy market. ...