Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approach
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Futures Markets"
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