2016
DOI: 10.18267/j.polek.1059
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Cluster Analysis of Jumps on Capital Markets

Abstract: Cluster Analysis of Jumps on Capital MarketsWe analyze the behavior and performance of multiple price jump indicators across capital markets and over time. By using high-frequency we perform cluster analysis of price jump indicators that share similar properties in terms of their performance in that they minimize Type I and Type II errors. We show that clusters of price jump indicators do not exhibit equal size. Clusters are stable across stock market indices and time. Detected numbers of price jumps are also … Show more

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References 36 publications
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