Bormetti, Giacomo; Calcagnile, Lucio Maria; Treccani, … - arXiv.org - 2013
Instabilities in the price dynamics of a large number of financial assets are a clear sign of systemic events. By investigating a set of 20 high cap stocks traded at the Italian Stock Exchange, we find that there is a large number of high frequency cojumps. We show that the dynamics of these...