2021/01/01 by Riccardo Marcaccioli, Jean‐Philippe Bouchaud, Jean-Philippe Bouchaud +1
Decision Sciences · Economics, Econometrics and Finance · Mathematics · Physics and Astronomy · #Biology #Chaos control and synchronization #Complex Systems and Time Series Analysis #Econometrics #Economics #Endocrinology #Endogeny #Financial economics #Geography #Mathematics #Power law #Statistics #Stock (firearms) #Stock Market Forecasting Methods #Stock price #Volatility (finance) #physics.soc-ph #q-fin.TR
paper · pdf · doi:10.1088/1742-5468/ac498c
openalex publication_date 2021/01/01 · arxiv created 2021/06/13 · arxiv updated 2022/02/23 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/05
Synchronising a database of stock specific news with 5 years worth of order book data on 300 stocks, we show that abnormal price movements following news releases (exogenous) exhibit markedly different dynamical features from those arising spontaneously (endogenous). On average, large volatility fluctuations induced by exogenous events occur abruptly and are followed by a decaying power-law relaxation, while endogenous price jumps are characterized by progressively accelerating growth of volatility, also followed by a power-law relaxation, but slower than for exogenous jumps. Remarkably, our results are reminiscent of what is observed in different contexts, namely Amazon book sales and YouTube views. Finally, we show that fitting power-laws to \it individual volatility profiles allows one to classify large events into endogenous and exogenous dynamical classes, without relying on the news feed.