Let one feed's ticks excite another's

A multivariate Hawkes over the feeds: a kernel matrix whose entry (i, j) says how much a tick in feed j raises feed i's intensity, and how fast that fades. A burst in EUR/USD then lifts GBP/USD more than it lifts SOFR. Stability is a spectral radius: the largest eigenvalue of the mean kernel must be below one. The matrix is too large to write by hand for a hundred feeds, so it is built from groups (asset class, currency, provider) with a within-group and a between-group weight.

Gemini's review drew a cross-asset excitation matrix. Today every feed shares one heat, which is the rank-one special case: a tick anywhere lifts every feed by the same share. That makes the market move together but cannot make a currency's pairs move together more than the rest.

Option 3 of the regime capture named this and left it for later; options 1 and 2 are now built. It is distinct from the bivariate activity and volatility capture, which couples two coordinates of one market, and from cross-rate correlation, which couples prices rather than arrival times.

• Gemini's review of the Market regime tab
• A market-wide arrival regime, so the desk can panic together
• Make activity and volatility excite each other
• Custom jump distributions and cross-rate correlation matrices
• Tick arrival

• Carry a market-wide arrival regime — the story that built the market these extend.