Exogenous and Endogenous Price Jumps Belong to Different Dynamical Classes

@article{Marcaccioli2021ExogenousAE,
  title={Exogenous and Endogenous Price Jumps Belong to Different Dynamical Classes},
  author={Riccardo Marcaccioli and J. Bouchaud and M. Benzaquen},
  journal={Capital Markets: Market Microstructure eJournal},
  year={2021}
}
Synchronising a database of stock specific news with 5 years worth of order book data on 300 stocks, we show that abnormal price movements following news releases (exogenous) exhibit markedly different dynamical features from those arising spontaneously (endogenous). On aver- age, large volatility fluctuations induced by exogenous events occur abruptly and are followed by a decaying power-law relaxation, while endogenous price jumps are characterized by progressively accelerating growth of… Expand
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