In this paper, we investigate some predictable patterns in high frequency price jumps using trades, orders and quotes data on the Euronext 100 Index. A fixed volume chart allows us to control for trading volume effects and avoid non trading issues at high frequency aggregation. We detect jumps...

This study aims at forecasting periods of intraday low execution price uncertainty. We compute an adjusted Amihud illiquidity ratio to detect those periods in the stock market. Our methodology is built around a fixed volume event chart and presents a threefold advantage. First, we solve the non...