  We introduce a new measure of activity of financial markets that provides a
direct access to their level of endogeneity. This measure quantifies how much
of price changes are due to endogenous feedback processes, as opposed to
exogenous news. For this, we calibrate the self-excited conditional Poisson
Hawkes model, which combines in a natural and parsimonious way exogenous
influences with self-excited dynamics, to the E-mini S&P 500 futures contracts
traded in the Chicago Mercantile Exchange from 1998 to 2010. We find that the
level of endogeneity has increased significantly from 1998 to 2010, with only
70% in 1998 to less than 30% since 2007 of the price changes resulting from
some revealed exogenous information. Analogous to nuclear plant safety
concerned with avoiding "criticality", our measure provides a direct
quantification of the distance of the financial market to a critical state
defined precisely as the limit of diverging trading activity in absence of any
external driving.
