2008/03/12 by Armand Joulin, Joulin, Armand, Augustin Lefevre +6 · 86 citations
Economics, Econometrics and Finance · Physics and Astronomy · #Complex Systems and Time Series Analysis #Data Analysis #Econometrics #Economics #FOS: Economics and business #FOS: Physical sciences #Financial Markets and Investment Strategies #Financial Risk and Volatility Modeling #Financial economics #Geology #Implied volatility #Jump #Market liquidity #Monetary economics #Order book #Physics #Physics and Society (physics.soc-ph) #Series (stratigraphy) #Statistical Finance (q-fin.ST) #Statistics and Probability (physics.data-an) #Stock (firearms) #Stock price #Volatility (finance) #Volatility smile #physics.data-an #physics.soc-ph #q-fin.ST
paper · pdf · doi:10.48550/arxiv.0803.1769
published in arXiv (Cornell University) (Cornell University)
arxiv created 2008/03/12 · openalex publication_date 2008/03/12 · arxiv updated 2009/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/05
In order to understand the origin of stock price jumps, we cross-correlate high-frequency time series of stock returns with different news feeds. We find that neither idiosyncratic news nor market wide news can explain the frequency and amplitude of price jumps. We find that the volatility patterns around jumps and around news are quite different: jumps are followed by increased volatility, whereas news tend on average to be followed by lower volatility levels. The shape of the volatility relaxation is also markedly different in the two cases. Finally, we provide direct evidence that large transaction volumes arenot_ responsible for large price jumps. We conjecture that most price jumps are induced by order flow fluctuations close to the point of vanishing liquidity.