Our aim is to define the concept of stock jumps from a practitioner's perspective and to give an insightful overview of the topic. We provide different technical and practical definitions from distinct points of view: mathematical, risk managerial, trading and investing. We verify the robustness of some common stylised facts for three major stock indices, and we derive an approximated jumps distribution. We finally provide some innovative insights from a behavioral perspective, and how to account for behavioral biases in this context.
Stock jumps: Analyzing traditional and behavioral perspectives
CERVELLATI, Enrico Maria
2015-01-01
Abstract
Our aim is to define the concept of stock jumps from a practitioner's perspective and to give an insightful overview of the topic. We provide different technical and practical definitions from distinct points of view: mathematical, risk managerial, trading and investing. We verify the robustness of some common stylised facts for three major stock indices, and we derive an approximated jumps distribution. We finally provide some innovative insights from a behavioral perspective, and how to account for behavioral biases in this context.File in questo prodotto:
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