digital asset returns are driven by high frequency jumps clustered around black swan events, resembling volatility and trading …While attention is a predictor for digital asset prices, and jumps in Bitcoin prices are well-known, we know little … volume seasonalities. Regressions show that intra-day jumps significantly influence end of day returns in size and direction …

We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps …-capitalization stocks traded on the Euronext-Paris Bourse. We find that, at tick frequency, the overnight return, the intraday jumps, and … microstructure model explains on average 47.7% of the total variation. Once jumps are filtered and parameters are estimated in real …