Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approach
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DOI: 10.1002/fut.22048
Abstract: We propose the Hawkes flocking model that assesses systemic risk in high-frequency processes at the two perspectives -- endogeneity and interactivity. We examine the futures markets of WTI crude oil and gasoline for the past… read more here.
Keywords: hawkes flocking; risk; systemic risk; flocking model ... See more keywords
Emergent Dynamics of an Orientation Flocking Model With Distance‐Dependent Delay
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DOI: 10.1002/mma.11031
Abstract: In this paper, we investigate the dynamical behaviors of an orientation flocking model that incorporates state‐dependent delay. The research unfolds in three principal phases: First, we establish the global existence and uniqueness of solutions for… read more here.
Keywords: orientation; orientation flocking; dependent delay; flocking model ... See more keywords