小波
波动性(金融)
计量经济学
不对称
跳跃
库存(枪支)
代表(政治)
股票价格
经济
系列(地层学)
计算机科学
人工智能
机械工程
古生物学
物理
量子力学
政治
法学
政治学
工程类
生物
作者
Cécilia Aubrun,Rudy Morel,Michael Benzaquen,Jean‐Philippe Bouchaud
标识
DOI:10.1073/pnas.2409156121
摘要
We introduce an unsupervised classification framework that leverages a multiscale wavelet representation of time-series and apply it to stock price jumps. In line with previous work, we recover the fact that time-asymmetry of volatility is the major feature that separates exogenous, news-induced jumps from endogenously generated jumps. Local mean-reversion and trend are found to be two additional key features, allowing us to identify new classes of jumps. Using our wavelet-based representation, we investigate the endogenous or exogenous nature of cojumps, which occur when multiple stocks experience price jumps within the same minute. Perhaps surprisingly, our analysis suggests that a significant fraction of cojumps result from an endogenous contagion mechanism.
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