The leverage effect refers to the generally negative correlation between an asset return and its changes of volatility. A natural estimate consists in using the empirical correlation between the daily returns and the changes of daily volatility estimated from high-frequency data. The puzzle lies...

"The leverage effect refers to the generally negative correlation between an asset return and its changes of volatility. A natural estimate consists in using the empirical correlation between the daily returns and the changes of daily volatility estimated from high-frequency data. The puzzle...

The leverage effect refers to the generally negative correlation between an asset return and its changes of volatility. A natural estimate consists in using the empirical correlation between the daily returns and the changes of daily volatility estimated from high-frequency data. The puzzle lies...

This paper studies the predictability of ultra high-frequency stock returns and durations to relevant price, volume and transactions events, using machine learning methods. We find that, contrary to low frequency and long horizon returns, where predictability is rare and inconsistent,...

This paper studies the predictability of ultra high-frequency stock returns and durations to relevant price, volume and transactions events, using machine learning methods. We find that, contrary to low frequency and long horizon returns, where predictability is rare and inconsistent,...

We study the estimation of (joint) moments of microstructure noise based on high frequency data. The estimation is conducted under a nonparametric setting, which allows the underlying price process to have jumps, the observation times to be irregularly spaced, \emph{and} the noise to be...

Increasing evidence points towards the episodic emergence of pockets with extreme return persistence. This notion refers to intraday periods of non-trivial duration, for which stock returns are highly positively autocorrelated. Such episodes include, but are not limited to, gradual jumps and...