The self-exciting nature of the bid-ask spread dynamics¶
Bibliographic record. Follow the original-source link for the publication.
| Field | Value |
|---|---|
| Primary domain | Unclassified |
| Other domains | — |
| Methods | — |
| Facets | — |
| Authors | Ruihua Ruan, Emmanuel Bacry, Jean-François Muzy |
| Published | 2023-06-06 |
| Source | arXiv Quantitative Finance History |
| Identifiers | arxiv:2303.02038 |
| URL | Open original source |
Editorial synthesis¶
Why it matters¶
The study lets both spread jump sizes and intensities depend on the current spread state, seeking a closer representation of self-exciting and state-dependent bid-ask spread dynamics. (abstract:S1, abstract:S2)
Main author claims¶
- The authors propose a State-dependent Spread Hawkes model with multiple spread jump sizes and intensity functions affected by the current spread state. (
abstract:S2) - The authors report: On CAC40 Euronext high-frequency data, the authors report that the model captures spread, inter-event-time, and autocorrelation distributions and can forecast spreads at short horizons. (
abstract:S3,abstract:S4)
Data, method, or discussion scope¶
The evidence covers distributional fit, autocorrelation, and short-horizon spread forecasts on CAC40 Euronext high-frequency data. (abstract:S3, abstract:S4)
Main limitations¶
The abstract reports one market and short horizons but no forecast metric, baseline, or out-of-sample design, so forecast gains and cross-market robustness cannot be compared. (abstract:S3, abstract:S4)
Relationships¶
- None recorded.