The present article deals with intra-horizon risk in models with jumps. Our general understanding of intra-horizon risk … quantifying market risk by strictly relying on point-in-time measures cannot be deemed a satisfactory approach in general. Instead …, we argue that complementing this approach by studying measures of risk that capture the magnitude of losses potentially …

predictions from dealer inventory risk models, we find (1) a strong negative link to end-of-day order imbalance; (2) reversals are … amplified in periods of high volatility; and (3) in recent years dealers have increasingly offloaded inventory during Asian … trading hours. Second, shocks to end-of-day quantities of risk lead to increases in overnight expected returns. …