Systemic Co-Jumps

Caporin, Massimiliano; Kolokolov, Aleksey; Renò, Roberto

doi:10.2139/ssrn.2851811

Cited by 15 publications

(24 citation statements)

References 65 publications

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“…This result is consistent with the large volumes traded in financial markets immediately during and after a market crash, see e.g. Caporin, Kolokolov, and Renò (2017).…”

Section: Optimal Allocationsupporting

confidence: 88%

Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like

Oliva

Renò

2018

Journal of Economic Dynamics and Control

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We study a continuous time optimal portfolio allocation problem with volatility and co-jump risk, allowing prices, variances and covariances to jump simultaneously. Differently from the traditional approach, we deviate from affine models by specifying a flexible Wishart jump-diffusion for the co-precision (the inverse of the covariance matrix). The optimal portfolio weights which solve the dynamic programming problem are genuinely dynamic and proportional to the instantaneous co-precision, reconciling optimal dynamic allocation with the static Markowitz-type economic intuition. An application to the optimal allocation problem across hedge fund investment styles illustrates the importance of having jumps in volatility associated with jumps in price.

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“…This result is consistent with the large volumes traded in financial markets immediately during and after a market crash, see e.g. Caporin, Kolokolov, and Renò (2017).…”

Section: Optimal Allocationsupporting

confidence: 88%

Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like

Oliva

Renò

2018

Journal of Economic Dynamics and Control

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“…However, one may be interested in disentangling the jump covariation, or co-jumps, from the total quadratic covariation, which is an important risk factor of asset prices (Todorov and Bollerslev, 2010;Gilder et al, 2014;Caporin et al, 2017). Existing approaches include the truncated RC estimator of Mancini and Gobbi (2012) and the truncated pre-averaged Hayashi-Yoshida estimator of Koike (2016), both based on the truncation principle of Mancini (2009).…”

Section: Jumpsmentioning

confidence: 99%

Weighted Least Squares Realized Covariation Estimation

Nolte

Vasios³

et al. 2022

SSRN Journal

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“…The usage of a 5-minute interval to detect intraday jumps is a consensus choice in the existing literature (Bollerslev and Todorov, 2011;Liu et al, 2015;Wan et al, 2017), which represents a tradeoff between maximizing statistical power and minimizing the effect of microstructure noise (Caporin et al, 2017). The Chinese Stock Exchange opens from 9:30 am to 11:30 am and 1:00 pm to 3:00 pm, with a total of 4 hours in a trading day.…”

Section: Intraday Jump Detectionmentioning

confidence: 99%

Pattern recognition in micro-trading behaviors before stock price jumps: A framework based on multivariate time series analysis

Kong,

Azencott,

Zhu

et al. 2020

Preprint

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This paper extends the work of Boudt and Pertitjean (2014) and investigates the trading patterns before price jumps in the stock market based on a new multivariate time classification technique.Different from Boudt and Pertitjean (2014), our analyzing scheme can explore the "time-series information" embedded in the trading-related attributes and provides a set of jump indicators for abnormal pattern recognition. In addition to the commonly used liquidity measures, our analysis also involves a set of technical indicators to describe the micro-trading behaviors. An empirical study is conducted on the level-2 data of the constituent stocks of China Security Index 300. It is found that among all the candidate attributes, several volume and volatility-related attributes exhibit the most significant abnormality before price jumps. Though some of the abnormalities start just shortly before the occurrence of the jumps, some start much earlier. We also find that most of our attributes have low mutual dependencies with each other from the perspective of time-series analysis, which allows various perspectives to study the market trading behaviors. To this end, our experiment provides a set of jump indicators that can effectively detect the stocks with extremely abnormal trading behaviors before price jumps. More importantly, our study offers a new framework and potential useful directions for trading-related pattern recognition problem using the time series classification techniques.

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Systemic Co-Jumps

Cited by 15 publications

References 65 publications

Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like

Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like

Weighted Least Squares Realized Covariation Estimation

Pattern recognition in micro-trading behaviors before stock price jumps: A framework based on multivariate time series analysis

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