Applications of a multivariate Hawkes process to joint modeling of sentiment and market return events

作者：Yang Steve Y.^*; Liu Anqi; Chen Jing; Hawkes Alan

来源：Quantitative Finance, 2018, 18(2): 295-310.

DOI：10.1080/14697688.2017.1403156

• Point process
• Hawkes process
• Investor sentiment
• Return jumps
• News sentiment

To investigate the complex interactions between market events and investor sentiment, we employ a multivariate Hawkes process to evaluate dynamic effects among four types of distinct events: positive returns, negative returns, positive sentiment, and negative sentiment. Using both intraday S&P 500 return data and Thomson Reuters News sentiment data from 2008 to 2014, we find: (a) self-excitation is strong for all four types of events at 15 min time scale; (b) there is a significant mutual-excitation between positive returns and positive sentiment and negative returns and negative sentiment; (c) decay of return events is almost twice as fast as sentiment events, which means market prices move faster than investor sentiment changes; (d) positive sentiment shocks tend to generate negative price jumps; and (e) the cross-excitation between positive and negative sentiments is stronger than their self-excitation. These findings provide further understanding of investor sentiment and its intricate interactions with market returns.

• 出版日期2018