Subscribe to the gold package and get unlimited access to Shamra Academy
Register a new userExogenous and Endogenous Price Jumps Belong to Different Dynamical Classes
126
0
0.0
(
0
)
Ask ChatGPT about the research
No Arabic 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 average, 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 {it individual} volatility profiles allows one to classify large events into endogenous and exogenous dynamical classes, without relying on the news feed.
rate research
Read More
Using non-linear machine learning methods and a proper backtest procedure, we critically examine the claim that Google Trends can predict future price returns. We first review the many potential biases that may influence backtests with this kind of data positively, the choice of keywords being by far the greatest culprit. We then argue that the real question is whether such data contain more predictability than price returns themselves: our backtest yields a performance of about 17bps per week which only weakly depends on the kind of data on which predictors are based, i.e. either past price returns or Google Trends data, or both.
Many illnesses are associated with an alteration of the immune system homeostasis due to any combination of factors, including exogenous bacterial insult, endogenous breakdown (e.g., development of a disease that results in immuno suppression), or an exogenous hit like surgery that simultaneously alters immune responsiveness and provides access to bacteria, or genetic disorder. We conjecture that, as a consequence of the co-evolution of the immune system of individuals with the ecology of pathogens, the homeostasis of the immune system requires the influx of pathogens. This allows the immune system to keep the ever present pathogens under control and to react and adjust fast to bursts of infections. We construct the simplest and most general system of rate equations which describes the dynamics of five compartments: healthy cells, altered cells, adaptive and innate immune cells, and pathogens. We study four regimes obtained with or without auto-immune disorder and with or without spontaneous proliferation of infected cells. Over all regimes, we find that seven different states are naturally described by the model: (i) strong healthy immune system, (ii) healthy organism with evanescent immune cells, (iii) chronic infections, (iv) strong infections, (v) cancer, (vi) critically ill state and (vii) death. The analysis of stability conditions demonstrates that these seven states depend on the balance between the robustness of the immune system and the influx of pathogens.
Are large biological extinctions such as the Cretaceous/Tertiary KT boundary due to a meteorite, extreme volcanic activity or self-organized critical extinction cascades? Are commercial successes due to a progressive reputation cascade or the result of a well orchestrated advertisement? Determining the chain of causality for extreme events in complex systems requires disentangling interwoven exogenous and endogenous contributions with either no clear or too many signatures. Here, I review several efforts carried out with collaborators, which suggest a general strategy for understanding the organization of several complex systems under the dual effect of endogenous and exogenous fluctuations. The studied examples are: Internet download shocks, book sale shocks, social shocks, financial volatility shocks, and financial crashes. Simple models are offered to quantitatively relate the endogenous organization to the exogenous response of the system. Suggestions for applications of these ideas to many other systems are offered.
The occurrence of new events in a system is typically driven by external causes and by previous events taking place inside the system. This is a general statement, applying to a range of situations including, more recently, to the activity of users in Online social networks (OSNs). Here we develop a method for extracting from a series of posting times the relative contributions of exogenous, e.g. news media, and endogenous, e.g. information cascade. The method is based on the fitting of a generalized linear model (GLM) equipped with a self-excitation mechanism. We test the method with synthetic data generated by a nonlinear Hawkes process, and apply it to a real time series of tweets with a given hashtag. In the empirical dataset, the estimated contributions of exogenous and endogenous volumes are close to the amounts of original tweets and retweets respectively. We conclude by discussing the possible applications of the method, for instance in online marketing.
In order to understand the origin of stock price jumps, we cross-correlate high-frequency time series of stock returns with different news feeds. We find that neither idiosyncratic news nor market wide news can explain the frequency and amplitude of price jumps. We find that the volatility patterns around jumps and around news are quite different: jumps are followed by increased volatility, whereas news tend on average to be followed by lower volatility levels. The shape of the volatility relaxation is also markedly different in the two cases. Finally, we provide direct evidence that large transaction volumes are_not_ responsible for large price jumps. We conjecture that most price jumps are induced by order flow fluctuations close to the point of vanishing liquidity.
Log in to be able to interact and post comments
comments
Fetching comments
Sign in to be able to follow your search criteria
