发表机构
Wageningen University; European Organization for Nuclear Research (CERN); Maastricht University（瓦赫宁根大学; 欧洲核子研究组织（CERN）; 马斯特里赫特大学）
机构由 AI 辅助整理，请以论文原文为准。AI 中文总结
本文提出状态依赖的霍克斯过程，利用流动性压力指数识别市场状态，对欧洲日内电力市场订单流建模，发现订单流自激且近临界，流动性压力增强交易自激，三状态优于两状态。
AI 中文摘要
欧洲日内交易的重要性日益增长，这得益于可再生能源渗透率的不断提高，但也导致了更高的波动性和市场压力时期。理解订单流在不同流动性条件下的行为，需要能够适应市场状态的模型。本文提出了一种多变量状态依赖的霍克斯过程，用于对日内连续电力市场中不同流动性机制下的订单流进行建模。观察到的市场状态通过提出的流动性压力指数（LSI）进行识别，该指数利用限价订单簿中的买卖价差、订单簿深度和中间价波动率来量化压力。状态之间的转换会引起强度参数的变化，从而产生反映特定机制订单流行为的分段动态。该模型使用EPEX SPOT 2024年1月至3月荷兰日内连续跨境日内（XBID）小时级订单数据进行校准。估计的动态显示，订单流具有强烈的自激特性且接近临界状态，已执行的交易会触发新的同侧订单，而反向效应则可忽略不计，流动性压力主要增强了交易的自激作用，而非重塑跨侧结构。对LSI组成和状态划分的稳健性检验表明，结果是由机制构建本身驱动的：替代指数组成在狭窄范围内拟合，三个状态比两个状态拟合更好，而移除状态则明显降低了相对于单机制霍克斯基准的拟合度。结果既凸显了将订单流模型条件化于流动性压力的价值，也揭示了在事件频率高度不平衡时单指数设定的局限性。
英文摘要
The growing importance of intraday trading in Europe, driven by the increasing penetration of renewable energy sources, has led to higher volatility and periods of market stress. Understanding how order flow behaves under varying liquidity conditions requires models that adapt to the state of the market. This paper proposes a multivariate state-dependent Hawkes process to model the flow of orders across different liquidity regimes in the intraday continuous electricity market. The observed market states are identified using a proposed Liquidity Stress Index (LSI), which quantifies stress using the bid-ask spread in the limit order book, order book volume, and mid-price volatility. Transitions between states induce changes in the intensity parameters, resulting in piecewise dynamics that reflect regime-specific order-flow behavior. The model is calibrated on January-March 2024 Dutch intraday continuous cross-border intraday (XBID) hourly order data from EPEX SPOT. The estimated dynamics show that order flow is strongly self-exciting and near-critical, that executed trades trigger new same-side orders while the reverse effect is negligible, and that liquidity stress mainly strengthens transaction self-excitation rather than reshaping the cross-side structure. Robustness checks over the LSI composition and the state partition show that the results are driven by the regime construction itself: alternative index compositions fit within a narrow band, three states fit better than two, and removing the states clearly degrades the fit relative to a single-regime Hawkes benchmark. The results highlight both the value of conditioning order-flow models on liquidity stress and the limits of a single-exponential specification when event frequencies are highly imbalanced.
