Large price changes on small scales

Adam Zawadowski, J. Kertész and G. Andor

Physica A: Statistical Mechanics and its Applications, 2004, vol. 344, issue 1, 221-226

Abstract: In this study we examine the evolution of price, volume, and the bid–ask spread after extreme 15min 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: Price evolution; Volatility outburst; Behavioural finance (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:344:y:2004:i:1:p:221-226

DOI: 10.1016/j.physa.2004.06.121

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