Jumps in stock prices: New insights from old data

Return Dynamics with Levy Jumps: Evidence from Stock and Option Prices

A New Test for Jumps in Asset Prices

This paper proposes a new test for the presence of jumps in asset prices. The test is derived from a direct application of Itô’s lemma to the semi-martingale process of asset prices. Intuitively, the proposed test measures the impact of jumps on the third and higher order return moments and is also directly related to the profit/loss function of a variance swap replication strategy. We derive i...

Regime Jumps in Electricity Prices

Electricity prices are known to be very volatile and subject to frequent jumps due to system breakdown, demand shocks, and inelastic supply. As many international electricity markets are in some state of deregulation, more and more participants in these markets are exposed to these stylised facts. Appropriate pricing, portfolio, and risk management models should incorporate these facts. Authors...

Old Concepts, New Insights

Clinically significant non-major depression has been underinvestigated despite its high prevalence and public health impact. Although there is an increasing recognition of the importance of non-major forms of depression, their nosological boundaries and neurobiological mechanisms remain largely unknown. The authors discuss the literature pertaining to the current concepts, phenomenology, neurob...

Do Customers Learn from Stock Prices?

This paper provides evidence that a firm’s stock price movements affect its customer demand. I develop a model in which customers learn about a firm’s product quality partially from its stock price. This learning induces feedback from the price to customer demand. Furthermore, the firm manager adjusts product launch decisions in anticipation of these demand shifts. Consistent with the model’s i...