标题： 使用霍克斯过程检测强度爆发：对高频金融数据的应用 显示英文标题

标题： Detection of intensity bursts using Hawkes processes: an application to high frequency financial data

摘要： 给定一个平稳点过程，强度爆发被定义为一个短时间内，其计数数量大于典型的计数率。 它可能表示系统的局部非平稳性或系统中存在外部扰动。 在本文中，我们提出了一种新的方法，在霍克斯过程框架内检测强度爆发。 通过使用模型选择方案，我们表明当爆发的发生时间和总数量未知时，我们的方法可以用于检测强度爆发。 此外，爆发的初始时间可以以典型事件间时间给出的精度确定。 我们将我们的方法应用于外汇市场的中间价格变化，表明这些爆发是频繁的，并且只有相对较小的一部分与新闻到达相关。 我们展示了不同外汇汇率之间强度爆发出现的领先滞后关系，并讨论了它们与价格跳跃的关系。 显示英文摘要

摘要： Given a stationary point process, an intensity burst is defined as a short time period during which the number of counts is larger than the typical count rate. It might signal a local non-stationarity or the presence of an external perturbation to the system. In this paper we propose a novel procedure for the detection of intensity bursts within the Hawkes process framework. By using a model selection scheme we show that our procedure can be used to detect intensity bursts when both their occurrence time and their total number is unknown. Moreover, the initial time of the burst can be determined with a precision given by the typical inter-event time. We apply our methodology to the mid-price change in FX markets showing that these bursts are frequent and that only a relatively small fraction is associated to news arrival. We show lead-lag relations in intensity burst occurrence across different FX rates and we discuss their relation with price jumps.