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

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