This paper introduces a new information density indicator to provide a more comprehensive understanding of price … reactions to news and, more specifically, to the sources of jumps in financial markets. Our information density indicator, which …

higher than the lowest quintile's. Abnormal returns persist after controlling for liquidity, asymmetric information, and risk …

Order flow toxicity is a measure of a trader's exposure to the risk that counter-parties possess private information or …

This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns … directing process which are required in order to generate proper volatility dynamics while simultaneously matching the …

We use the database leak of Mt. Gox exchange to analyze the dynamics of the price of bitcoin from June 2011 to November …

jumps. Jumps, High-Frequency Data, Spurious Detections, Jumps Dynamics, News Releases, Cojumps …

The relationship between the level of stock market volatility and public information flow is non-linear, resembling a … bell-shaped function. Medium levels of information flow generate heightened volatility, whereas weak and strong information … measure of daily macroeconomic news flow. We also device a test for model specification. States of medium information flow are …