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Stock price jumps: news and volume play a minor role
13 references·16 citing·45 second hop
Stock price jumps: news and volume play a minor role (2008)Stock price jumps: news and volume play a…Relation between bid–ask spread, impact and volatility in order-driven markets (2007)Relation between bid–ask spre…What really causes large price changes? (2004)What really causes large pric…Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes (2004)Fluctuations and response in …A theory of power-law distributions in financial market fluctuations (2003)A theory of power-law distrib…Events That Shook the Market (2002)Events That Shook the MarketForecasting multifractal volatility (2001)Forecasting multifractal vola…Empirical properties of asset returns: stylized facts and statistical issues (2001)Empirical properties of asset…Modelling fluctuations of financial time series: from cascade process to stochastic volatility model (2000)Modelling fluctuations of fin…Scaling of the distribution of price fluctuations of individual companies (1999)Scaling of the distribution o…Noise Dressing of Financial Correlation Matrices (1999)Noise Dressing of Financial C…What Moves Stock Prices? (1988)What Moves Stock Prices?Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Do Stock Prices Move Too Much…Financial portfolio optimization with online deep reinforcement learning and restricted stacked autoencoder—DeepBreath (2020)Financial portfolio optimizat…Why Do Markets Crash? Bitcoin Data Offers Unprecedented Insights (2015)Why Do Markets Crash? Bitcoin…The limits of statistical significance of Hawkes processes fitted to financial data (2015)The limits of statistical sig…Modelling systemic price cojumps with Hawkes factor models (2015)Modelling systemic price coju…The fine-structure of volatility feedback I: Multi-scale self-reflexivity (2014)The fine-structure of volatil…The fine structure of volatility feedback II: Overnight and intra-day effects (2014)The fine structure of volatil…An analytical review of volatility metrics for bubbles and crashes (2014)An analytical review of volat…Stock Market Returns and Clinical Trial Results of Investigational Compounds: An Event Study Analysis of Large Biopharmaceutical Companies (2013)Stock Market Returns and Clin…Investor Attention on the Social Web (2013)Investor Attention on the Soc…High Quality Topic Extraction from Business News Explains Abnormal Financial Market Volatility (2013)High Quality Topic Extraction…Quantifying reflexivity in financial markets: Toward a prediction of flash crashes (2012)Quantifying reflexivity in fi…Predicting abnormal returns from news using text classification (2012)Predicting abnormal returns f…How does the market react to your order flow? (2012)How does the market react to …Patterns in high-frequency FX data: discovery of 12 empirical scaling laws (2010)Patterns in high-frequency FX…Market dynamics immediately before and after financial shocks: Quantifying the Omori, productivity, and Bath laws (2010)Market dynamics immediately b…The (unfortunate) complexity of the economy (2009)The (unfortunate) complexity …Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Time Series Analysis, Forecasting, and Control (1995)Martingales and arbitrage in multiperiod securities markets (1979)A long memory property of stock market returns and a new model (1993)The Distribution of Realized Exchange Rate Volatility (2001)Multifractality in Asset Returns: Theory and Evidence (2002)Multifractal properties of price fluctuations of stocks and commodities (2003)Multi-scaling in finance (2007)Economic Forces and the Stock Market (1986)Expected stock returns and volatility (1987)Permanent and Temporary Components of Stock Prices (1988)Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Sentiment During Recessions (2012)Fractional Brownian Motions, Fractional Noises and Applications (1968)The variation of certain speculative prices (1997)Heterogeneous Agent Models in Economics and Finance (2005)Chapter 23 Heterogeneous Agent Models in Economics and Finance (2006)Copula Modeling: An Introduction for Practitioners (2007)Human behavior and the principle of least effort (1949)The Cross‐Section of Volatility and Expected Returns (2006)Modelling the scaling properties of human mobility (2010)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Portfolio Selection: Efficient Diversification of Investments. (1962)Modern Portfolio Theory and Investment Analysis. (1982)Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Random matrix approach to cross correlations in financial data (2002)Dynamics of market correlations: Taxonomy and portfolio analysis (2003)The Variation of Certain Speculative Prices (1963)Introduction to Econophysics (1999)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Power Laws in Economics and Finance (2008)Physical approach to complex systems (2012)Power Laws in Economics: An Introduction (2016)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Does the Stock Market Overreact? (1985)An empirical behavioral model of liquidity and volatility (2007)Does herding affect volatility? Implications for the Spanish stock market (2010)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Empirical distributions of stock returns: between the stretched exponential and the power law? (2005)Multifractal methodology (2017)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?4,020 cited
  • 2001Empirical properties of asset returns: stylized facts and statistical issues3,508 cited
  • 2003A theory of power-law distributions in financial market fluctuations1,283 cited
  • 1988What Moves Stock Prices?1,255 cited
  • 1999Noise Dressing of Financial Correlation Matrices1,244 cited
  • 1999Scaling of the distribution of price fluctuations of individual companies539 cited
  • 2000Modelling fluctuations of financial time series: from cascade process to stochastic volatility model301 cited
  • 2004Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes295 cited
  • 2001Forecasting multifractal volatility284 cited
  • 2004What really causes large price changes?276 cited
  • 2002Events That Shook the Market190 cited
  • 2007Relation between bid–ask spread, impact and volatility in order-driven markets159 cited

Cited by

  • 2012Quantifying reflexivity in financial markets: Toward a prediction of flash crashes241 cited
  • 2020Financial portfolio optimization with online deep reinforcement learning and restricted stacked autoencoder—DeepBreath

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154 cited
  • 2012Predicting abnormal returns from news using text classification145 cited
  • 2010Patterns in high-frequency FX data: discovery of 12 empirical scaling laws108 cited
  • 2015Modelling systemic price cojumps with Hawkes factor models79 cited
  • 2015Why Do Markets Crash? Bitcoin Data Offers Unprecedented Insights78 cited
  • 2010Market dynamics immediately before and after financial shocks: Quantifying the Omori, productivity, and Bath laws75 cited
  • 2009The (unfortunate) complexity of the economy63 cited
  • 2014The fine-structure of volatility feedback I: Multi-scale self-reflexivity49 cited
  • 2015The limits of statistical significance of Hawkes processes fitted to financial data45 cited
  • 2012How does the market react to your order flow?41 cited
  • 2013High Quality Topic Extraction from Business News Explains Abnormal Financial Market Volatility40 cited
  • 2014An analytical review of volatility metrics for bubbles and crashes38 cited
  • 2013Stock Market Returns and Clinical Trial Results of Investigational Compounds: An Event Study Analysis of Large Biopharmaceutical Companies36 cited
  • 2014The fine structure of volatility feedback II: Overnight and intra-day effects30 cited
  • 2013Investor Attention on the Social Web28 cited