The profitability of trading on large Levy jumps

被引：1

作者：

Chan, Kam Fong ^{[1
]}

Gray, Phil ^{[2
]}

Pan, Zheyao ^{[3
]}

机构：

[1] Univ Western Australia, UWA Business Sch, Perth, WA, Australia

[2] Monash Univ, Monash Business Sch, Dept Banking & Finance, Clayton, Vic, Australia

[3] Macquarie Univ, Macquarie Business Sch, Dept Appl Finance, Room 737,Bldg 4ER,Macquarie Pk, Sydney, NSW, Australia

来源：

INTERNATIONAL REVIEW OF FINANCE | 2021年 / 21卷 / 02期

关键词：

high-frequency trading; jump trading strategy; Levy jumps; STOCK-PRICES; RETURNS; DIFFUSION; COMPONENTS; FOREIGN; MODEL; RISK;

D O I：

10.1111/irfi.12279

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

While past research has studied the profitability of trading based on jump signals, the notion of differentiating between jumps according to their magnitude has received relatively little attention. We utilize the approach of Lee and Hannig (2010) to identify Levy jumps and classify them as small and large. The empirical analysis shows that the arrival of large Levy jumps provides a strong trading signal in five major equity markets. In contrast, the signal from small Levy jumps is negligible.

引用

页码：627 / 635

页数：9

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