Abstract
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.
| Original language | English |
|---|---|
| Article number | e2409156121 |
| Journal | Proceedings of the National Academy of Sciences of the United States of America |
| Volume | 122 |
| Issue number | 6 |
| DOIs | |
| Publication status | Published - 11 Feb 2025 |
Keywords
- classification
- cojumps
- price jumps
- reflexivity
- wavelets
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