Cecilia Aubrun, Rudy Morel, Michael Benzaquen, Jean-Philippe Bouchaud
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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.
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.