Large price changes on small scales

A. G. Zawadowski; János Kertész; György Andor

doi:10.1016/j.physa.2004.06.121

Large price changes on small scales

A. G. Zawadowski^*, János Kertész, György Andor

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

Abstract (may include machine translation)

In this study we examine the evolution of price, volume, and the bid-ask spread after extreme 15 min intraday price changes on the NYSE and the NASDAQ. We find that due to strong behavioral trading there is an overreaction. Furthermore, we find that volatility which increases sharply at the event decays according to a power law with an exponent of ≈ 0.4, i.e., much faster than the autocorrelation function of volatility.

Original language	English
Pages (from-to)	221-226
Number of pages	6
Journal	Physica A: Statistical Mechanics and its Applications
Volume	344
Issue number	1-2
DOIs	https://doi.org/10.1016/j.physa.2004.06.121
State	Published - 1 Dec 2004
Externally published	Yes
Event	Applications of Physics in Financial Analysis 4 (APFA4) - Warsaw, Poland Duration: 13 Nov 2003 → 15 Nov 2003

Keywords

Behavioural finance
Price evolution
Volatility outburst

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10.1016/j.physa.2004.06.121

Cite this

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abstract = "In this study we examine the evolution of price, volume, and the bid-ask spread after extreme 15 min intraday price changes on the NYSE and the NASDAQ. We find that due to strong behavioral trading there is an overreaction. Furthermore, we find that volatility which increases sharply at the event decays according to a power law with an exponent of ≈ 0.4, i.e., much faster than the autocorrelation function of volatility.",

keywords = "Behavioural finance, Price evolution, Volatility outburst",

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AU - Andor, György

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N2 - In this study we examine the evolution of price, volume, and the bid-ask spread after extreme 15 min intraday price changes on the NYSE and the NASDAQ. We find that due to strong behavioral trading there is an overreaction. Furthermore, we find that volatility which increases sharply at the event decays according to a power law with an exponent of ≈ 0.4, i.e., much faster than the autocorrelation function of volatility.

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KW - Behavioural finance

KW - Price evolution

KW - Volatility outburst

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T2 - Applications of Physics in Financial Analysis 4 (APFA4)

Y2 - 13 November 2003 through 15 November 2003

ER -

Large price changes on small scales

Abstract (may include machine translation)

Keywords

Access to Document

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