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Something in the air: information density, news surprises, and price jumps
Füss, Roland; Grabellus, Markus; Mager, Ferdinand; … - 2015
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 …
Persistent link: https://www.econbiz.de/10011344170
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Information, Trading, and Volatility : Evidence from Firm-Specific News
Boudoukh, Jacob - 2017
What moves stock prices? Prior literature concludes that the revelation of private information through trading, and not … public news, is the primary driver. We revisit the question by using textual analysis to identify fundamental information in … news. This information accounts for 49.6% of overnight idiosyncratic volatility (compared to 12.4% during trading hours …
Persistent link: https://www.econbiz.de/10012974737
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Actual and Warranted Relations Between Asset Prices
Beltratti, Andrea E.; Shiller, Robert J. - Cowles Foundation for Research in Economics, Yale University - 1991
bounds for both covariances and correlations and show how such bounds can be tightened using information beyond the …
Persistent link: https://www.econbiz.de/10005463944
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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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The random walk of high frequency trading
Aldrich, Eric M.; Heckenbach, Indra; Laughlin, Gregory - 2015 - This draft: June 1, 2015
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 …
Persistent link: https://www.econbiz.de/10010392091
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A Closed-form Model-free Implied Volatility Formula through Delta Families
Cui, Zhenyu - 2020
In this paper, we derive a closed-form explicit model-free formula for the (Black-Scholes) implied volatility. The method is based on the novel use of the Dirac Delta function, corresponding delta families, and the change of variable technique. The formula is expressed through either a limit or...
Persistent link: https://www.econbiz.de/10012837341
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Behavioral Finance - Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle : The Rational Finance Approach
Rachev, Svetlozar T. - 2020
In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as “anomalies” the theory of rational finance cannot explain: (i) Predictability of asset returns; (ii) The Equity Premium; (iii) The Volatility Puzzle. We offer resolutions of...
Persistent link: https://www.econbiz.de/10012842392
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Estimating Long Memory Volatility Using High-Frequency Data of Asian Stock Markets
Duppati, Geeta - 2016
This article analyzed the presence of long memory in volatility in 5 Asian equity indices namely SENSEX, CNIA, NIKKEI225, KO11 and FTSTI, using 5 minutes intraday return series ranging from 05-jan-2015 to 06-Aug-2015. The study employed ARFIMA-FIGARCH model and ARFIMA-APARCH model and compared...
Persistent link: https://www.econbiz.de/10013003892
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High-frequency jump analysis of the bitcoin market
Scaillet, Olivier; Treccani, Adrien; Trevisan, Christopher - 2017
We use the database leak of Mt. Gox exchange to analyze the dynamics of the price of bitcoin from June 2011 to November …
Persistent link: https://www.econbiz.de/10011762219
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Bitcoin's Price Alchemy : Unraveling the Influence of Macro Announcements on Volatility and Trading Volume in an Era of Rising Inflation
Johansson, Andreas; Vilhelmsson, Anders - 2023
Using high-frequency price and volume data from several large exchanges, we show that FOMC and CPI announcements have a massive impact on Bitcoin's realized volatility and volume. However, this effect is a recent phenomenon, which started as inflation rose at the beginning of 2021. We also...
Persistent link: https://www.econbiz.de/10014350108