Sluggish news reactions : a combinatorial approach for synchronizing stock jumps
- Author
- Nabil Bouamara, Kris Boudt (UGent) , Sébastien Laurent and Christopher J. Neely
- Organization
- Abstract
- Stock prices often react sluggishly to news, producing gradual jumps and jump delays. Econometricians typically treat these sluggish reactions as microstructure effects and settle for a coarse sampling grid to guard against them. Synchronizing mistimed stock returns on a fine sampling grid allows us to better approximate the true common jumps in related stock prices.
- Keywords
- Asynchronicity, Cojumps, High-frequency data, Microstructure noise, Realized Covariance, Rearrangement
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Citation
Please use this url to cite or link to this publication: http://hdl.handle.net/1854/LU-01J103CCC58G9FBYF3ZP2VS874
- MLA
- Bouamara, Nabil, et al. “Sluggish News Reactions : A Combinatorial Approach for Synchronizing Stock Jumps.” Federal Reserve Bank of St. Louis Working Paper Series, no. 2024–006, Federal Reserve Bank of St. Louis, 2024, doi:10.20955/wp.2024.006.
- APA
- Bouamara, N., Boudt, K., Laurent, S., & Neely, C. J. (2024). Sluggish news reactions : a combinatorial approach for synchronizing stock jumps. https://doi.org/10.20955/wp.2024.006
- Chicago author-date
- Bouamara, Nabil, Kris Boudt, Sébastien Laurent, and Christopher J. Neely. 2024. “Sluggish News Reactions : A Combinatorial Approach for Synchronizing Stock Jumps.” Federal Reserve Bank of St. Louis Working Paper Series. Federal Reserve Bank of St. Louis. https://doi.org/10.20955/wp.2024.006.
- Chicago author-date (all authors)
- Bouamara, Nabil, Kris Boudt, Sébastien Laurent, and Christopher J. Neely. 2024. “Sluggish News Reactions : A Combinatorial Approach for Synchronizing Stock Jumps.” Federal Reserve Bank of St. Louis Working Paper Series. Federal Reserve Bank of St. Louis. doi:10.20955/wp.2024.006.
- Vancouver
- 1.Bouamara N, Boudt K, Laurent S, Neely CJ. Sluggish news reactions : a combinatorial approach for synchronizing stock jumps. Federal Reserve Bank of St. Louis Working Paper Series. Federal Reserve Bank of St. Louis; 2024.
- IEEE
- [1]N. Bouamara, K. Boudt, S. Laurent, and C. J. Neely, “Sluggish news reactions : a combinatorial approach for synchronizing stock jumps,” Federal Reserve Bank of St. Louis Working Paper Series, no. 2024–006. Federal Reserve Bank of St. Louis, 2024.
@misc{01J103CCC58G9FBYF3ZP2VS874,
abstract = {{Stock prices often react sluggishly to news, producing gradual jumps and jump delays. Econometricians typically treat these sluggish reactions as microstructure effects and settle for a coarse sampling grid to guard against them. Synchronizing mistimed stock returns on a fine sampling grid allows us to better approximate the true common jumps in related stock prices.}},
author = {{Bouamara, Nabil and Boudt, Kris and Laurent, Sébastien and Neely, Christopher J.}},
keywords = {{Asynchronicity,Cojumps,High-frequency data,Microstructure noise,Realized Covariance,Rearrangement}},
language = {{eng}},
number = {{2024-006}},
pages = {{29}},
publisher = {{Federal Reserve Bank of St. Louis}},
series = {{Federal Reserve Bank of St. Louis Working Paper Series}},
title = {{Sluggish news reactions : a combinatorial approach for synchronizing stock jumps}},
url = {{http://doi.org/10.20955/wp.2024.006}},
year = {{2024}},
}
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