Sluggish news reactions: A combinatorial approach for synchronizing stock jumps
Econometrics
2023-09-28 v1
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 automatically detect noisy jumps and better approximate the true common jumps in related stock prices.
Keywords
Cite
@article{arxiv.2309.15705,
title = {Sluggish news reactions: A combinatorial approach for synchronizing stock jumps},
author = {Nabil Bouamara and Kris Boudt and Sébastien Laurent and Christopher J. Neely},
journal= {arXiv preprint arXiv:2309.15705},
year = {2023}
}
Comments
30 pages, 8 figures