  We propose the Hawkes flocking model that assesses systemic risk in
high-frequency processes at the two perspectives -- endogeneity and
interactivity. We examine the futures markets of WTI crude oil and gasoline for
the past decade, and perform a comparative analysis with conditional
value-at-risk as a benchmark measure. In terms of high-frequency structure, we
derive the empirical findings. The endogenous systemic risk in WTI was
significantly higher than that in gasoline, and the level at which gasoline
affects WTI was constantly higher than in the opposite case. Moreover, although
the relative influence's degree was asymmetric, its difference has gradually
reduced.
