Exogenous and Endogenous Price Jumps Belong to Different Dynamical Classes

17 Pages Posted: 22 Jun 2021

See all articles by Riccardo Marcaccioli

Riccardo Marcaccioli

University of Paris-Saclay - Ecole Polytechnique

Jean-Philippe Bouchaud

Capital Fund Management

Michael Benzaquen

Ecole Polytechnique, Palaiseau; Capital Fund Management

Date Written: June 13, 2021

Abstract

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 volatility, also followed by a power-law relaxation, but slower than for exogenous jumps. Remarkably, our results are reminiscent of what is observed in different contexts, namely Amazon book sales and YouTube views. Finally, we show that fitting power-laws to individual volatility profiles allows one to classify large events into endogenous and exogenous dynamical classes, without relying on the news feed.

Suggested Citation

Marcaccioli, Riccardo and Bouchaud, Jean-Philippe and Benzaquen, Michael, Exogenous and Endogenous Price Jumps Belong to Different Dynamical Classes (June 13, 2021). Available at SSRN: https://ssrn.com/abstract=3866131 or http://dx.doi.org/10.2139/ssrn.3866131

Riccardo Marcaccioli

University of Paris-Saclay - Ecole Polytechnique ( email )

55 Avenue de Paris
Versailles, 78000
France

Jean-Philippe Bouchaud

Capital Fund Management ( email )

23 rue de l'Université
Paris, 75007
France
+33 1 49 49 59 20 (Phone)

Michael Benzaquen (Contact Author)

Ecole Polytechnique, Palaiseau ( email )

Route de Saclay
Palaiseau, 91128
France

Capital Fund Management ( email )

23 rue de l'Université
Paris, 75007
France

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