noise is considered. A general stochastic volatility framework with jumps for the underlying asset dynamics is defined … parameter and average jumps size reveals that the characteristics of the dataset are crucial to determine which is the proper …

We develop a new method that detects jumps nonparametrically in financial time series and significantly outperforms the … generated by a process that experiences both jumps and volatility bursts. As a result, the network learns how to disentangle the …: we obtain fewer spurious detection and identify a larger number of true jumps. When applied to real data, our approach …

realized bipower variation, which are immune against microstructure noise bias and price jumps respectively, generate superior …

trader identifiers at a tick transaction level. Jumps are frequent events and they cluster in time. The order flow imbalance … and the preponderance of aggressive traders, as well as a widening of the bid-ask spread predict them. Jumps have short …

to overestimate the number of jumps in yield spreads and puts the coherence of test results at risk. We formalize the …