市场参与者波动贡献的分解和量化
Disentangling and quantifying market participant volatility contributions
摘要：
由于可以访问Euronext提供的Cac40指数期货的标记订单，我们能够量化市场参与者对扩散限制波动性的贡献。为了实现这一结果，我们利用霍克斯点过程的分支性质。我们发现，快速中介（例如，做市商类型的代理商）比较慢的定向代理商对波动性具有更小的足迹。霍克斯过程的分支结构也使我们能够考察每个主体行为的内隐程度。我们发现，高频交易者比其他类型的代理人更内生驱动。
英文摘要：
Thanks to the access to labeled orders on the Cac40 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. We find that high-frequency traders are more endogenously driven than other types of agents.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
