In order to understand the origin of stock price jumps, we crosscorrelate high-frequency time series of stock returns with different news feeds. We find that neither idiosyncratic news nor market wide news can explain the frequency and amplitude of price jumps. We find that the volatility patterns around jumps and around news are quite different: jumps are followed by increased volatility, wher...

A random dot pattern was presented which made two jumps in various directions with a variable delay between them. The jumps occurred at the frame transitions of a 3-frame apparent motion sequence. The variation in detectability with the directional difference and the temporal separation of the jumps allows us to make inferences about directional tuning and the temporal response of the motion de...

AIM Sledge jump systems (SJS) are often employed to examine the underlying mechanical and neuromuscular mechanisms of the stretch-shortening cycle (SSC) as they allow the systematic variation of impact velocity and energy. However, in existing SJS the jumps are not very comparable to natural jumps because of the long contact times (∼200%), which prevent the storage of kinetic energy. The aim of...

We investigate the dynamics of return and liquidity (co) jumps for three most traded emerging market currencies vis-à-vis US dollar. Accordingly, an increase in average bid-ask spread (realized volatility) significantly reduces duration between consecutive (liquidity) jumps, while volatility only play a partial role on return-liquidity cojumps. There is also evidence vicious spirals views posit...

If the intensity parameter in a jump diffusion model is identically zero, then parameters characterizing the jump size density cannot be identified. In general, this lack of identification precludes consistent estimation of identified parameters. Hence, it should be standard practice to consistently pretest for jumps, prior to estimating jump diffusions. Many currently available tests have powe...

The double barrier option is characterized by pay-off with strike K, maturity T, upper Su and lower Sd barrier levels and the corresponding rebates φu and φd which can be time dependent. We divide last four quantities by strike K and introduce new variables x = ln(S/K), xu = ln(Su/K), xd = ln(Sd/K). The value of European double barrier call option U(t, x) satisfies the extended Black-Scholes eq...

We propose a new procedure to detect jumps in prices in the presence of microstructure noise. The procedure averages the results from existing tests across sampling frequencies. This approach overcomes the sub-sampling and low-power problems that plague existing tests for jumps. We use a modified version of Fisher’s method to combine p-values for the Barndorff-Nielsen and Shephard (2006) test a...

      The effect of aqueous extract of Nepata glomerulosa Boiss. aerial parts on morphine withdrawal syndrome was investigated in mice. Dependence was induced by subcutaneous injections of morphine for 3 consecutive days. On day 4, morphine was injected 2 h prior to intraperitoneal injection of naloxone. The number of jumps during a 20 min. period after naloxone injection was considere...

The problem of space-optimal jump encoding in the x86 instruction set, also known as branch displacement optimization, is described, and a linear-time algorithm is given that uses no complicated data structures, no recursion, and no randomization. The only assumption is that there are no array declarations whose size depends on the negative of the size of a section of code (Hyde 2006), which is...

The topic of volatility measurement and estimation is central to …nancial and more generally time series econometrics. In this paper, we begin by surveying models of volatility, both discrete and continuous, and then we summarize some selected empirical …ndings from the literature. In particular, in the …rst sections of this paper, we discuss important developments in volatility models, with fo...