Essec\Faculty\Model\Contribution {#2188
  #_index: "academ_contributions"
  #_id: "13706"
  #_source: array:26 [
    "id" => "13706"
    "slug" => "the-drift-burst-hypothesis"
    "yearMonth" => "2022-04"
    "year" => "2022"
    "title" => "The drift burst hypothesis"
    "description" => "CHRISTENSEN, K., OOMEN, R. et RENO, R. (2022). The drift burst hypothesis. <i>Journal of Econometrics</i>, 227(2), pp. 461-497."
    "authors" => array:3 [
      0 => array:3 [
        "name" => "RENO Roberto"
        "bid" => "B00798674"
        "slug" => "reno-roberto"
      ]
      1 => array:1 [
        "name" => "CHRISTENSEN Kim"
      ]
      2 => array:1 [
        "name" => "OOMEN Roel"
      ]
    ]
    "ouvrage" => ""
    "keywords" => array:6 [
      0 => "Flash crashes"
      1 => "Gradual jumps"
      2 => "Volatility bursts"
      3 => "Liquidity"
      4 => "Nonparametric statistics"
      5 => "Microstructure noise"
    ]
    "updatedAt" => "2023-02-07 01:00:47"
    "publicationUrl" => "https://doi.org/10.1016/j.jeconom.2020.11.004"
    "publicationInfo" => array:3 [
      "pages" => "461-497"
      "volume" => "227"
      "number" => "2"
    ]
    "type" => array:2 [
      "fr" => "Articles"
      "en" => "Journal articles"
    ]
    "support_type" => array:2 [
      "fr" => "Revue scientifique"
      "en" => "Scientific journal"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "The drift burst hypothesis postulates the existence of short-lived locally explosive trends in the price paths of financial assets. The recent U.S. equity and treasury flash crashes can be viewed as two high-profile manifestations of such dynamics, but we argue that drift bursts of varying magnitude are an expected and regular occurrence in financial markets that can arise through established mechanisms of liquidity provision. We show how to build drift bursts into the continuous-time Itô semimartingale model, elaborate on the conditions required for the process to remain arbitrage-free, and propose a nonparametric test statistic that identifies drift bursts from noisy high-frequency data. We apply the test and demonstrate that drift bursts are a stylized fact of the price dynamics across equities, fixed income, currencies and commodities. Drift bursts occur once a week on average, and the majority of them are accompanied by subsequent price reversion and can thus be regarded as “flash crashes.” The reversal is found to be stronger for negative drift bursts with large trading volume, which is consistent with endogenous demand for immediacy during market crashes."
      "en" => "The drift burst hypothesis postulates the existence of short-lived locally explosive trends in the price paths of financial assets. The recent U.S. equity and treasury flash crashes can be viewed as two high-profile manifestations of such dynamics, but we argue that drift bursts of varying magnitude are an expected and regular occurrence in financial markets that can arise through established mechanisms of liquidity provision. We show how to build drift bursts into the continuous-time Itô semimartingale model, elaborate on the conditions required for the process to remain arbitrage-free, and propose a nonparametric test statistic that identifies drift bursts from noisy high-frequency data. We apply the test and demonstrate that drift bursts are a stylized fact of the price dynamics across equities, fixed income, currencies and commodities. Drift bursts occur once a week on average, and the majority of them are accompanied by subsequent price reversion and can thus be regarded as “flash crashes.” The reversal is found to be stronger for negative drift bursts with large trading volume, which is consistent with endogenous demand for immediacy during market crashes."
    ]
    "authors_fields" => array:2 [
      "fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
      "en" => "Information Systems, Decision Sciences and Statistics"
    ]
    "indexedAt" => "2024-04-28T09:21:47.000Z"
    "docTitle" => "The drift burst hypothesis"
    "docSurtitle" => "Journal articles"
    "authorNames" => "<a href="/cv/reno-roberto">RENO Roberto</a>, CHRISTENSEN Kim, OOMEN Roel"
    "docDescription" => "<span class="document-property-authors">RENO Roberto, CHRISTENSEN Kim, OOMEN Roel</span><br><span class="document-property-authors_fields">Information Systems, Decision Sciences and Statistics</span> | <span class="document-property-year">2022</span>"
    "keywordList" => "<a href="#">Flash crashes</a>, <a href="#">Gradual jumps</a>, <a href="#">Volatility bursts</a>, <a href="#">Liquidity</a>, <a href="#">Nonparametric statistics</a>, <a href="#">Microstructure noise</a>"
    "docPreview" => "<b>The drift burst hypothesis</b><br><span>2022-04 | Journal articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="https://doi.org/10.1016/j.jeconom.2020.11.004" target="_blank">The drift burst hypothesis</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 8.637426
  +"parent": null
}