This web-appendix provides further results and illustrations as referred to in the main paper.The paper "Fact or Friction: Jumps at Ultra High Frequency" to which these Appendices apply is available at the following URL: "http://ssrn.com/abstract=1848774" http://ssrn.com/abstract=1848774

The drift burst hypothesis postulates the existence of short-lived locally explosive trends in the price paths of financial assets. The recent US equity and treasury flash crashes can be viewed as two high profile manifestations of such dynamics, but we argue that drift bursts of varying...

This paper shows that jumps in financial asset prices are often erroneously identified and are, in fact, rare events accounting for a very small proportion of the total price variation. We apply new econometric techniques to a comprehensive set of ultra high-frequency equity and foreign exchange...