Hawkes-Driven Order Flow and the Fragility of Apparent Momentum

Self-exciting point process models of order arrivals reproduce a substantial fraction of empirically observed short-horizon autocorrelation in signed trades without invoking an informational hypothesis. We interpret this as a structural caution: the cross-section of apparent momentum at sub-hour horizons is partially endogenous to the matching engine and to participation thresholds, not to discovery of news.

Intensity λ_t = μ + ∫_0^t φ(t−s) dN_s with branching ratio ‖φ‖_1 < 1. Endogeneity is quantified by ‖φ‖_1 evolving toward criticality during regime shifts.

Periods in which the branching ratio approaches one are typically also periods in which conventional momentum filters appear to work. The two phenomena share a generator; one is not a forecast of the other.

Signal classification must treat near-critical regimes as ambiguity-rich rather than evidence-rich.

Estimators of ‖φ‖_1 are sensitive to event-time aggregation and to handling of self-trades.