Identifying new classes of financial price jumps with wavelets
We introduce an unsupervised classification framework that leverages a multiscale wavelet representation of time-series and apply it to stock price jumps. In line with previous work, we recover the fact that time-asymmetry of volatility is the major feature that separates exogenous, news-induced jumps from endogenously generated jumps. Local mean-reversion and trend are found to be two additional key features, allowing us to identify new classes of jumps. Using our wavelet-based representation, we investigate the endogenous or exogenous nature of cojumps, which occur when multiple stocks experience price jumps within the same minute. Perhaps surprisingly, our analysis suggests that a significant fraction of cojumps result from an endogenous contagion mechanism.
Authors
- Cécilia Aubrun (ORCID: https://orcid.org/0000-0002-9926-6401)
- Michael Benzaquen (ORCID: https://orcid.org/0000-0002-9751-7625)
- Rudy Morel (ORCID: https://orcid.org/0000-0001-8739-7757)
- Jean‐Philippe Bouchaud
Institutions
- École Polytechnique (FR)
- École Normale Supérieure - PSL (FR)
- Laboratoire d'Hydrodynamique de l'École polytechnique (FR)
- Académie de Paris (FR)
- Flatiron Health (United States) (US)
- Flatiron Institute (US)
- Capital Fund Management (France) (FR)
Publication Details
- Journal
- Proceedings of the National Academy of Sciences
- Published
- 2025-02-07
- DOI
- https://doi.org/10.1073/pnas.2409156121
- Citations
- 1
- Primary Topic
- Complex Systems and Time Series Analysis
- Type
- article
- Field-Weighted Citation Impact
- 3.13