کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5089928 1375611 2011 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Extreme returns: The case of currencies
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Extreme returns: The case of currencies
چکیده انگلیسی
Financial market crashes can occur even in the absence of news. This paper highlights four properties of price-contingent trading that increase the frequency of such events. Price-contingent trading is common across financial market, since it includes algorithmic trading, technical trading, and dynamic option hedging. The four properties we consider are: (1) high kurtosis in the distribution of order sizes; (2) clustering of trades within the day; (3) clustering of trades at certain prices; and (4) feedback between trading and returns. The paper estimates the relative importance of these factors using data from the foreign exchange market. Calibrated simulations indicate that interactions among these factors are at least as important as any single one. Among individual factors, the orders' size distribution and feedback effects have the strongest influence. Overall, price-contingent trading could account for half of realized excess kurtosis. The paper suggests that extreme returns unaccompanied by news are statistically inevitable in the presence of price-contingent trading.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 35, Issue 11, November 2011, Pages 2868-2880
نویسندگان
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