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Jumps in high-frequency data : spurious detections, dynamics, and news
Bajgrowicz, Pierre; Scaillet, Olivier - 2011
jumps. Jumps, High-Frequency Data, Spurious Detections, Jumps Dynamics, News Releases, Cojumps …
Persistent link: https://www.econbiz.de/10009313027
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Price impact of aggressive liquidity provision
Gençay, Ramazan; Mahmoodzadeh, Soheil; Rojček, Jakub; … - 2016
takers. During bursts, market makers no longer passively impound information from order flow into quotes-a departure from the …
Persistent link: https://www.econbiz.de/10011516027
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Time-Varying Volatility and the Power Law Distribution of Stock Returns
Warusawitharana, Missaka - 2016
While many studies find that the tail distribution of high frequency stock returns follow a power law, there are only a few explanations for this finding. This study presents evidence that time-varying volatility can account for the power law property of high frequency stock returns. The power...
Persistent link: https://www.econbiz.de/10013210380
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Deep learning for asset bubbles detection
Bashchenko, Oksana; Marchal, Alexis - 2020
We develop a methodology for detecting asset bubbles using a neural network. We rely on the theory of local martingales in continuous-time and use a deep network to estimate the diffusion coefficient of the price process more accurately than the current estimator, obtaining an improved detection...
Persistent link: https://www.econbiz.de/10012181227
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Risk-Free Rates and Convenience Yields Around the World
Diamond, William; Van Tassel, Peter - 2022
This paper constructs risk-free interest rates implicit in index option prices for ten of the major G11 currencies. We compare these rates to the yields of government bonds to provide international estimates of the convenience yield earned by safe assets. Average convenience yields across...
Persistent link: https://www.econbiz.de/10014030002
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The reception of public signals in financial markets : what if central bank communication becomes stale?
Ehrmann, Michael; Sondermann, David - 2009
How do financial markets price new information? This paper analyzes price setting at the intersection of private and … public information, by testing whether and how the reaction of financial markets to public signals depends on the relative … importance of private information in agents’ information sets at a given point in time. It studies the reaction of UK short …
Persistent link: https://www.econbiz.de/10003963731
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Hedge fund stock trading in the financial crisis of 2007 - 2009
Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih - 2011 - Rev. version May 2011
Hedge funds significantly reduced their equity holdings during the recent financial crisis. In 2008Q3-Q4, hedge funds sold about 29% of their aggregate portfolio. Redemptions and margin calls were the primary drivers of selloffs. Consistent with forced deleveraging, the selloffs took place in...
Persistent link: https://www.econbiz.de/10009009543
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ETFs, arbitrage, and contagion
Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih - 2012 - March 2012
Recent literature suggests that trading by institutional investors may affect the first and second moments of returns. Elaborating on this intuition, we conjecture that arbitrageurs can propagate liquidity shocks between related markets. The paper provides evidence in this direction by studying...
Persistent link: https://www.econbiz.de/10009554748
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Time Variation in Asset Price Responses to Macro Announcements
Goldberg, Linda S. - 2013
uncertainty on the information content of news announcements, the interaction of monetary policy and financial stability …
Persistent link: https://www.econbiz.de/10013076594
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Flights to Safety
Baele, Lieven - 2014
Using only daily data on bond and stock returns, we identify and characterize flight to safety (FTS) episodes for 23 countries. On average, FTS days comprise less than 3% of the sample, and bond returns exceed equity returns by 2.5 to 4%. The majority of FTS events are country-specific not...
Persistent link: https://www.econbiz.de/10013051878