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Stock price jumps: news and volume play a minor role

Citations

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Cited by:

  1. Fabrizio Lillo & Salvatore Miccich� & Michele Tumminello & Jyrki Piilo & Rosario N. Mantegna, 2015. "How news affects the trading behaviour of different categories of investors in a financial market," Quantitative Finance, Taylor & Francis Journals, vol. 15(2), pages 213-229, February.
  2. Geoff Willis, 2011. "Pricing, liquidity and the control of dynamic systems in finance and economics," Papers 1105.5503, arXiv.org.
  3. B. Tóth & J. Kertész & J. D. Farmer, 2009. "Studies of the limit order book around large price changes," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 71(4), pages 499-510, October.
  4. Hossein Asgharian & Mia Holmfeldt & Marcus Larson, 2011. "An event study of price movements following realized jumps," Quantitative Finance, Taylor & Francis Journals, vol. 11(6), pages 933-946.
  5. Jianfei Zhang & Mathieu Rosenbaum, 2023. "Towards systematic intraday news screening: a liquidity-focused approach," Papers 2304.05115, arXiv.org.
  6. M. Cristelli & V. Alfi & L. Pietronero & A. Zaccaria, 2010. "Liquidity crisis, granularity of the order book and price fluctuations," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 73(1), pages 41-49, January.
  7. Fabrizio Pomponio & Frédéric Abergel, 2013. "Multiple-limit trades : empirical facts and application to lead-lag measures," Post-Print hal-00745317, HAL.
  8. Michele Vodret & Iacopo Mastromatteo & Bence Tóth & Michael Benzaquen, 2020. "A Stationary Kyle Setup: Microfounding propagator models," Working Papers hal-03016486, HAL.
  9. Jonathan Donier & Jean-Philippe Bouchaud, 2015. "Why Do Markets Crash? Bitcoin Data Offers Unprecedented Insights," Post-Print hal-01277584, HAL.
  10. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2020. "Endogenous Liquidity Crises," Post-Print hal-02567495, HAL.
  11. Michele Vodret & Iacopo Mastromatteo & Bence Tóth & Michael Benzaquen, 2021. "A Stationary Kyle Setup: Microfounding propagator models," Post-Print hal-03016486, HAL.
  12. Jun-ichi Maskawa & Joshin Murai & Koji Kuroda, 2013. "Market-wide price co-movement around crashes in the Tokyo Stock Exchange," Papers 1306.2188, arXiv.org.
  13. Zhi-Qiang Jiang & Wen-Jie Xie & Xiong Xiong & Wei Zhang & Yong-Jie Zhang & W. -X. Zhou, 2012. "Trading networks, abnormal motifs and stock manipulation," Papers 1301.0007, arXiv.org.
  14. Salma Elomari-Kessab & Guillaume Maitrier & Julius Bonart & Jean-Philippe Bouchaud, 2024. ""Microstructure Modes" -- Disentangling the Joint Dynamics of Prices & Order Flow," Papers 2405.10654, arXiv.org.
  15. Ryohei Hisano & Didier Sornette & Takayuki Mizuno & Takaaki Ohnishi & Tsutomu Watanabe, 2013. "High Quality Topic Extraction from Business News Explains Abnormal Financial Market Volatility," PLOS ONE, Public Library of Science, vol. 8(6), pages 1-12, June.
  16. D. Sornette, 2014. "Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models," Papers 1404.0243, arXiv.org.
  17. Takayuki Mizuno & Takaaki Ohnishi & Tsutomu Watanabe, 2015. "Novel and topical business news and their impact on stock market activities," Papers 1507.06477, arXiv.org.
  18. Adri'an Carro & Ra'ul Toral & Maxi San Miguel, 2015. "Markets, herding and response to external information," Papers 1506.03708, arXiv.org, revised Jun 2015.
  19. Pierre Blanc & R'emy Chicheportiche & Jean-Philippe Bouchaud, 2013. "The fine structure of volatility feedback II: overnight and intra-day effects," Papers 1309.5806, arXiv.org, revised May 2014.
  20. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2019. "Endogenous Liquidity Crises," Papers 1912.00359, arXiv.org, revised Feb 2020.
  21. Duarte Queirós, Sílvio M., 2016. "Trading volume in financial markets: An introductory review," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 24-37.
  22. Takayuki Mizuno & Takaaki Ohnishi & Tsutomu Watanabe, 2015. "Novel and topical business news and their impact on stock market activities," CARF F-Series CARF-F-366, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  23. Qiu, Yue & Wang, Zongrun & Xie, Tian & Zhang, Xinyu, 2021. "Forecasting Bitcoin realized volatility by exploiting measurement error under model uncertainty," Journal of Empirical Finance, Elsevier, vol. 62(C), pages 179-201.
  24. Gao-Feng Gu & Xiong Xiong & Yong-Jie Zhang & Wei Chen & Wei Zhang & Wei-Xing Zhou, 2014. "Stylized facts of price gaps in limit order books: Evidence from Chinese stocks," Papers 1405.1247, arXiv.org.
  25. Jan Hanousek & Evzen Kocenda & Jan Novotny, 2014. "Price jumps on European stock markets," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 14(1), pages 10-22, March.
  26. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2020. "Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events," Papers 2005.05730, arXiv.org.
  27. Hanousek, Jan & Novotný, Jan, 2012. "Price jumps in Visegrad-country stock markets: An empirical analysis," Emerging Markets Review, Elsevier, vol. 13(2), pages 184-201.
  28. Jan Hanousek & Evžen Kočenda & Jan Novotný, 2016. "Shluková analýza skoků na kapitálových trzích [Cluster Analysis of Jumps on Capital Markets]," Politická ekonomie, Prague University of Economics and Business, vol. 2016(2), pages 127-144.
  29. E. Bacry & S. Delattre & M. Hoffmann & J. F. Muzy, 2013. "Modelling microstructure noise with mutually exciting point processes," Quantitative Finance, Taylor & Francis Journals, vol. 13(1), pages 65-77, January.
  30. Fabio Caccioli & Jean-Philippe Bouchaud & J. Doyne Farmer, 2012. "A proposal for impact-adjusted valuation: Critical leverage and execution risk," Papers 1204.0922, arXiv.org, revised Aug 2012.
  31. Jan Hanousek & Jan Novotný, 2014. "Cenové skoky během finanční nejistoty: od intuice k regulační perspektivě [Price Jumps during Financial Crisis: From Intuition to Financial Regulation]," Politická ekonomie, Prague University of Economics and Business, vol. 2014(1), pages 32-48.
  32. Sabrina Camargo & Silvio M. Duarte Queiros & Celia Anteneodo, 2013. "Bridging stylized facts in finance and data non-stationarities," Papers 1302.3197, arXiv.org, revised May 2013.
  33. Didier SORNETTE, 2014. "Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based Models," Swiss Finance Institute Research Paper Series 14-25, Swiss Finance Institute.
  34. Tong, Yuan & Wan, Ning & Dai, Xingyu & Bi, Xiaoyi & Wang, Qunwei, 2022. "China's energy stock market jumps: To what extent does the COVID-19 pandemic play a part?," Energy Economics, Elsevier, vol. 109(C).
  35. Francesco Cordoni & Fabrizio Lillo, 2020. "Instabilities in Multi-Asset and Multi-Agent Market Impact Games," Papers 2004.03546, arXiv.org, revised Nov 2021.
  36. Jean-Philippe Bouchaud & Damien Challet, 2016. "Why have asset price properties changed so little in 200 years," Papers 1605.00634, arXiv.org.
  37. Ryohei Hisano & Didier Sornette & Takayuki Mizuno & Takaaki Ohnishi & Tsutomu Watanabe, 2012. "High quality topic extraction from business news explains abnormal financial market volatility," CARF F-Series CARF-F-299, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  38. repec:upd:utppwp:002 is not listed on IDEAS
  39. Zhou, Haigang & Zhu, John Qi, 2019. "Firm characteristics and jump dynamics in stock prices around earnings announcements," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
  40. Vogel, Harold L. & Werner, Richard A., 2015. "An analytical review of volatility metrics for bubbles and crashes," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 15-28.
  41. Hanousek Jan & Kočenda Evžen & Novotný Jan, 2012. "The identification of price jumps," Monte Carlo Methods and Applications, De Gruyter, vol. 18(1), pages 53-77, January.
  42. Blanc, Pierre & Chicheportiche, Rémy & Bouchaud, Jean-Philippe, 2014. "The fine structure of volatility feedback II: Overnight and intra-day effects," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 402(C), pages 58-75.
  43. Willis, Geoff, 2011. "Why money trickles up – wealth & income distributions," MPRA Paper 30851, University Library of Munich, Germany.
  44. Ao Kong & Robert Azencott & Hongliang Zhu & Xindan Li, 2020. "Pattern recognition in micro-trading behaviors before stock price jumps: A framework based on multivariate time series analysis," Papers 2011.04939, arXiv.org, revised Feb 2021.
  45. Michele Vodret & Iacopo Mastromatteo & Bence T'oth & Michael Benzaquen, 2020. "A Stationary Kyle Setup: Microfounding propagator models," Papers 2011.10242, arXiv.org, revised Feb 2021.
  46. Fabrizio Pomponio & Frederic Abergel, 2012. "Multiple-limit trades: empirical facts and application to lead--lag measures," Quantitative Finance, Taylor & Francis Journals, vol. 13(5), pages 783-793, September.
  47. Ao Kong & Robert Azencott & Hongliang Zhu & Xindan Li, 2024. "Pattern Recognition in Microtrading Behaviors Preceding Stock Price Jumps: A Study Based on Mutual Information for Multivariate Time Series," Computational Economics, Springer;Society for Computational Economics, vol. 63(4), pages 1401-1429, April.
  48. Jean-Philippe Bouchaud & J. Doyne Farmer & Fabrizio Lillo, 2008. "How markets slowly digest changes in supply and demand," Papers 0809.0822, arXiv.org.
  49. Jonathan Donier & Jean-Philippe Bouchaud, 2015. "Why Do Markets Crash? Bitcoin Data Offers Unprecedented Insights," PLOS ONE, Public Library of Science, vol. 10(10), pages 1-11, October.
  50. Alan Kirman, 2014. "Is it rational to have rational expectations?," Mind & Society: Cognitive Studies in Economics and Social Sciences, Springer;Fondazione Rosselli, vol. 13(1), pages 29-48, June.
  51. Tosin B. Fateye & Oluwaseun D. Ajay & Cyril A. Ajay, 2021. "Modelling of Daily Price Volatility of South Africa Property Stock Market Using GARCH Analysis," AfRES 2021-013, African Real Estate Society (AfRES).
  52. Giacomo Bormetti & Lucio Maria Calcagnile & Michele Treccani & Fulvio Corsi & Stefano Marmi & Fabrizio Lillo, 2013. "Modelling systemic price cojumps with Hawkes factor models," Papers 1301.6141, arXiv.org, revised Mar 2013.
  53. Jean-Philippe Bouchaud, 2012. "Crises and collective socio-economic phenomena: simple models and challenges," Papers 1209.0453, arXiv.org, revised Dec 2012.
  54. Lavička, H. & Lichard, T. & Novotný, J., 2016. "Sand in the wheels or wheels in the sand? Tobin taxes and market crashes," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 328-342.
  55. B. Tóth & Z. Eisler & F. Lillo & J. Kockelkoren & J.-P. Bouchaud & J.D. Farmer, 2012. "How does the market react to your order flow?," Quantitative Finance, Taylor & Francis Journals, vol. 12(7), pages 1015-1024, May.
  56. repec:upd:utppwp:055 is not listed on IDEAS
  57. Sevcan Uzun & Ahmet Sensoy & Duc Khuong Nguyen, 2023. "Jump forecasting in foreign exchange markets: A high‐frequency analysis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(3), pages 578-624, April.
  58. Marco Bartolozzi, 2010. "A Multi Agent Model for the Limit Order Book Dynamics," Papers 1005.0182, arXiv.org, revised Oct 2010.
  59. Cedric Schuhmann & Benjamin Kohler & Anton J. Heckens & Thomas Guhr, 2025. "A New Traders' Game? -- Response Functions in a Historical Perspective," Papers 2503.01629, arXiv.org.
  60. Maslyuk-Escobedo, Svetlana & Rotaru, Kristian & Dokumentov, Alexander, 2017. "News sentiment and jumps in energy spot and futures markets," Pacific-Basin Finance Journal, Elsevier, vol. 45(C), pages 186-210.
  61. Jan Novotny, 2010. "Were Stocks during the Financial Crisis More Jumpy: A Comparative Study," CERGE-EI Working Papers wp416, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  62. Adrián Carro & Raúl Toral & Maxi San Miguel, 2015. "Markets, Herding and Response to External Information," PLOS ONE, Public Library of Science, vol. 10(7), pages 1-28, July.
  63. Bence Toth & Yves Lemperiere & Cyril Deremble & Joachim de Lataillade & Julien Kockelkoren & Jean-Philippe Bouchaud, 2011. "Anomalous price impact and the critical nature of liquidity in financial markets," Papers 1105.1694, arXiv.org, revised Nov 2011.
  64. Jean-Philippe Bouchaud, 2024. "The Self-Organized Criticality Paradigm in Economics & Finance," Papers 2407.10284, arXiv.org, revised Sep 2024.
  65. Koji Kuroda & Jun-ichi Maskawa, 2019. "Exogenous shock and multifractal random walk," Evolutionary and Institutional Economics Review, Springer, vol. 16(1), pages 213-238, June.
  66. R'emy Chicheportiche & Jean-Philippe Bouchaud, 2012. "The fine-structure of volatility feedback I: multi-scale self-reflexivity," Papers 1206.2153, arXiv.org, revised Sep 2013.
  67. Ivan Jericevich & Patrick Chang & Tim Gebbie, 2020. "Comparing the market microstructure between two South African exchanges," Papers 2011.04367, arXiv.org.
  68. Erhan Bayraktar & Alexander Munk, 2017. "Mini-Flash Crashes, Model Risk, and Optimal Execution," Papers 1705.09827, arXiv.org, revised Aug 2018.
  69. Jean-Philippe Bouchaud, 2021. "The Inelastic Market Hypothesis: A Microstructural Interpretation," Papers 2108.00242, arXiv.org, revised Jan 2022.
  70. M. Bartolozzi, 2010. "A multi agent model for the limit order book dynamics," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 78(2), pages 265-273, November.
  71. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2020. "Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events," Working Papers hal-02998555, HAL.
  72. Lucio Maria Calcagnile & Giacomo Bormetti & Michele Treccani & Stefano Marmi & Fabrizio Lillo, 2015. "Collective synchronization and high frequency systemic instabilities in financial markets," Papers 1505.00704, arXiv.org.
  73. Jean-Philippe Bouchaud, 2021. "Radical Complexity," Papers 2103.09692, arXiv.org.
  74. Thomas J Hwang, 2013. "Stock Market Returns and Clinical Trial Results of Investigational Compounds: An Event Study Analysis of Large Biopharmaceutical Companies," PLOS ONE, Public Library of Science, vol. 8(8), pages 1-8, August.
  75. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2020. "Endogenous Liquidity Crises," Working Papers hal-02567495, HAL.
  76. repec:hal:wpaper:hal-00745317 is not listed on IDEAS
  77. Marcello Rambaldi & Vladimir Filimonov & Fabrizio Lillo, 2016. "Detection of intensity bursts using Hawkes processes: an application to high frequency financial data," Papers 1610.05383, arXiv.org.
  78. Jan Novotn?? & Jan Hanousek & Ev??en Ko??enda, 2013. "Price Jump Indicators: Stock Market Empirics During the Crisis," William Davidson Institute Working Papers Series wp1050, William Davidson Institute at the University of Michigan.
  79. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2021. "Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events," Post-Print hal-02998555, HAL.
  80. Michele Vodret & Iacopo Mastromatteo & Bence Tóth & Michael Benzaquen, 2023. "Microfounding GARCH models and beyond: a Kyle-inspired model with adaptive agents," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 18(3), pages 599-625, July.
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