Disentangling and quantifying market participant volatility contributions
Thanks to the access to labeled orders on the Cac40 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. We find that high-frequency traders are more endogenously driven than
other types of agents.
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| Marcello Rambaldi | (add twitter) | |
| Emmanuel Bacry | (add twitter) | |
| Jean-François Muzy | (add twitter) |
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