Market’s mystery jumps might be predictable after all

Endogenous volatility has a tell-tale pattern, quants find

Intraday spikes or falls in stock prices that happen without an obvious news trigger exhibit a signature pattern that could allow investors to predict when instability is about to strike.

Endogenous price jumps are both more numerous and markedly different from those triggered by news events, according to new research published by Jean-Philippe Bouchaud, chairman and chief scientist at Capital Fund Management (CFM), together with Michael Benzaquen and Riccardo Marcaccioli at École Polytechnique

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options


Want to know what’s included in our free membership? Click here

This address will be used to create your account

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here