外生和内生价格跳跃属于不同的动态类别
Exogenous and Endogenous Price Jumps Belong to Different Dynamical Classes
摘要：
同步数据库的股票特定的新闻与5年价值的订单簿数据的300只股票，我们发现，异常的价格波动后的新闻发布（外源性）表现出显着不同的动态特征，自发产生的（内源性）。平均而言，大的波动性波动引起的外生事件突然发生，其次是衰减的幂律松弛，而内生价格跳跃的特点是逐步加速增长的波动性，其次是幂律松弛，但比外生跳跃慢。值得注意的是，我们的结果让人想起了在不同背景下观察到的情况，即亚马逊图书销售和YouTube浏览量。最后，我们表明，拟合幂律{\it个人}波动曲线允许一个大的事件分为内源性和外源性的动态类，而不依赖于新闻提要。
英文摘要：
Synchronising a database of stock specific news with 5 years worth of order book data on 300 stocks, we show that abnormal price movements following news releases (exogenous) exhibit markedly different dynamical features from those arising spontaneously (endogenous). On average, large volatility fluctuations induced by exogenous events occur abruptly and are followed by a decaying power-law relaxation, while endogenous price jumps are characterized by progressively accelerating growth of volatility, also followed by a power-law relaxation, but slower than for exogenous jumps. Remarkably, our results are reminiscent of what is observed in different contexts, namely Amazon book sales and YouTube views. Finally, we show that fitting power-laws to {\it individual} volatility profiles allows one to classify large events into endogenous and exogenous dynamical classes, without relying on the news feed.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
