About this document
Classifying Price Jumps with Wavelets by jamest7117 is a document available to read on EtoBox.
The document presents a method for classifying price jumps in financial markets using wavelet coefficients to differentiate between endogenous and exogenous events. It identifies key features such as time-asymmetry of volatility, mean-reversion, and trend, and argues that many co-jumps result from endogenous contagion mechanisms rather than external shocks. The study emphasizes the importance of understanding the reflexive nature of price dynamics for better forecasting and stabilization in complex systems.
- Author
- jamest7117
- Language
- EN