TY - JOUR
T1 - Identifying new classes of financial price jumps with wavelets
AU - Aubrun, Cecilia
AU - Morel, Rudy
AU - Benzaquen, Michael
AU - Bouchaud, Jean Philippe
N1 - Publisher Copyright:
Copyright © 2025 the Author(s).
PY - 2025/2/11
Y1 - 2025/2/11
N2 - 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.
AB - 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.
KW - classification
KW - cojumps
KW - price jumps
KW - reflexivity
KW - wavelets
UR - https://www.scopus.com/pages/publications/85218359130
U2 - 10.1073/pnas.2409156121
DO - 10.1073/pnas.2409156121
M3 - Article
C2 - 39918944
AN - SCOPUS:85218359130
SN - 0027-8424
VL - 122
JO - Proceedings of the National Academy of Sciences of the United States of America
JF - Proceedings of the National Academy of Sciences of the United States of America
IS - 6
M1 - e2409156121
ER -