用小波识别金融价格跳跃的新类别

IF 9.1 1区 综合性期刊 Q1 MULTIDISCIPLINARY SCIENCES
Cecilia Aubrun, Rudy Morel, Michael Benzaquen, Jean-Philippe Bouchaud
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引用次数: 0

摘要

我们引入了一种无监督分类框架,该框架利用时间序列的多尺度小波表示并将其应用于股票价格跳跃。与之前的工作一致,我们恢复了这样一个事实,即波动率的时间不对称性是区分外源性新闻引发的跳跃与内源性跳跃的主要特征。发现局部均值回归和趋势是两个额外的关键特征,使我们能够识别新的跳跃类别。使用我们基于小波的表示,我们研究了cojump的内生或外生性质,当多只股票在同一分钟内经历价格上涨时,cojump就会发生。也许令人惊讶的是,我们的分析表明,很大一部分共跳是由内源性传染机制引起的。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Identifying new classes of financial price jumps with wavelets
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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来源期刊
CiteScore
19.00
自引率
0.90%
发文量
3575
审稿时长
2.5 months
期刊介绍: The Proceedings of the National Academy of Sciences (PNAS), a peer-reviewed journal of the National Academy of Sciences (NAS), serves as an authoritative source for high-impact, original research across the biological, physical, and social sciences. With a global scope, the journal welcomes submissions from researchers worldwide, making it an inclusive platform for advancing scientific knowledge.
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