Passer à la navigation principale Passer à la recherche Passer au contenu principal

Identifying new classes of financial price jumps with wavelets

  • Laboratoire d'Hydrodynamique de l'Ecole Polytechnique
  • CNRS
  • Flatiron Institute
  • Capital Fund Management
  • Académie des Sciences

Résultats de recherche: Contribution à un journalArticleRevue par des pairs

Résumé

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.

langue originaleAnglais
Numéro d'articlee2409156121
journalProceedings of the National Academy of Sciences of the United States of America
Volume122
Numéro de publication6
Les DOIs
étatPublié - 11 févr. 2025

Empreinte digitale

Examiner les sujets de recherche de « Identifying new classes of financial price jumps with wavelets ». Ensemble, ils forment une empreinte digitale unique.

Contient cette citation