Exogenous and endogenous factors affecting stock market transactions: A Hawkes process analysis of the Tokyo Stock Exchange during the COVID-19 pandemic
Fig 4
Exponent in memory kernel and intensity function.
(a) Estimated value of exponent b in memory kernel. Each plot shows the probability density function (PDF) of the values of b over all stocks. PDFs for March 16 and 25 are shown by circles and triangles, respectively, and PDF over all dates in March is shown in grey line. (b) An example of intensity function λ(t) calculated by the estimated μ(t), η(t), and b (morning session on March 16, SoftBank). The horizontal and vertical axes show the time ti of the ith event and intensity λ(ti), respectively. The vertical axis is logarithmically scaled. The estimated μ(t) is plotted in red. Orange circles exhibit (kδ, λ(kδ)) (k = 0, 1, …, 10, δ = 100 s).