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Disentangling and quantifying market participant volatility contributions

Rambaldi, Marcello; Bacry, Emmanuel; Muzy, Jean-François (2019), Disentangling and quantifying market participant volatility contributions, Quantitative Finance, 19, 10, p. 1613-1625. 10.1080/14697688.2019.1591631

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Type
Article accepté pour publication ou publié
Date
2019
Journal name
Quantitative Finance
Volume
19
Number
10
Publisher
Taylor & Francis
Pages
1613-1625
Publication identifier
Metadata
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Author(s)
Rambaldi, Marcello
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Bacry, Emmanuel cc
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Muzy, Jean-François
Sciences pour l'environnement [SPE]
Abstract (EN)
Thanks to the access to labeled orders on the CAC 40 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, and we find that high-frequency traders are more endogenously driven than other types of agents.
Subjects / Keywords
Volatility; Hawkes process; Agent-based model; High-frequency data; Agent behavior
JEL
G1 - General Financial Markets