{"id":13140,"date":"2020-02-25T16:00:36","date_gmt":"2020-02-25T13:00:36","guid":{"rendered":"https:\/\/w3.bilkent.edu.tr\/en\/?p=13140"},"modified":"2020-03-04T08:37:44","modified_gmt":"2020-03-04T05:37:44","slug":"man-seminar-intraday-jump-dynamics-what-predicts-price-jumps-saad-ali-khan-queens-university-ma-330-1040pm-march-3-en","status":"publish","type":"post","link":"https:\/\/w3.bilkent.edu.tr\/en\/man-seminar-intraday-jump-dynamics-what-predicts-price-jumps-saad-ali-khan-queens-university-ma-330-1040pm-march-3-en\/","title":{"rendered":"MAN Seminar: &#8220;Intraday Jump Dynamics: What Predicts Price Jumps?&#8221;, Saad Ali Khan (Queen\u2019s University), MA-330, 10:40PM March 3 (EN)"},"content":{"rendered":"<p>Date: 03 March 2020, Wednesday<br \/>\nTime: 10:40-11:40<br \/>\nPlace: Faculty of Business Administration,<br \/>\n\u00dcmit Berkman Seminar Room (MA-330)<\/p>\n<p>\u201cIntraday Jump Dynamics: What Predicts Price Jumps?\u201d<br \/>\nby<br \/>\nSaad Ali Khan<br \/>\nQueen\u2019s University<\/p>\n<p>Abstract: This paper examines the relationship between liquidity fragmentation and price jumps. Unexpected changes in intraday liquidity fragmentation predict jumps and jump direction. A shock to ask (bid) side liquidity fragmentation increases the probability of positive (negative) jumps by 36%. Decomposing jumps into information and noise components we show that fragmented jumps are noisier. Our work suggests that liquidity suppliers predict jumps and actively manage their exposure to large order imbalances accompanying jumps by fragmenting liquidity. This makes jumps predictable as liquidity suppliers&#8217; information is reflected in liquidity fragmentation, minutes before the arrival of a jump.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Date: 03 March 2020, Wednesday Time: 10:40-11:40 Place: Faculty of Business Administration, \u00dcmit Berkman Seminar Room (MA-330) \u201cIntraday Jump Dynamics: What Predicts Price Jumps?\u201d by Saad Ali Khan Queen\u2019s University Abstract: This paper examines the relationship between liquidity fragmentation and price jumps. Unexpected changes in intraday liquidity fragmentation predict jumps [\u2026] <\/p>\n<div class=\"clear\"><\/div>\n<p><a class=\"more_link clearfix\" href=\"https:\/\/w3.bilkent.edu.tr\/en\/man-seminar-intraday-jump-dynamics-what-predicts-price-jumps-saad-ali-khan-queens-university-ma-330-1040pm-march-3-en\/\" rel=\"nofollow\">Read More<\/a><\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[12],"tags":[],"class_list":["post-13140","post","type-post","status-publish","format-standard","hentry","category-oldposts"],"_links":{"self":[{"href":"https:\/\/w3.bilkent.edu.tr\/en\/wp-json\/wp\/v2\/posts\/13140","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/w3.bilkent.edu.tr\/en\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/w3.bilkent.edu.tr\/en\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/w3.bilkent.edu.tr\/en\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/w3.bilkent.edu.tr\/en\/wp-json\/wp\/v2\/comments?post=13140"}],"version-history":[{"count":1,"href":"https:\/\/w3.bilkent.edu.tr\/en\/wp-json\/wp\/v2\/posts\/13140\/revisions"}],"predecessor-version":[{"id":13141,"href":"https:\/\/w3.bilkent.edu.tr\/en\/wp-json\/wp\/v2\/posts\/13140\/revisions\/13141"}],"wp:attachment":[{"href":"https:\/\/w3.bilkent.edu.tr\/en\/wp-json\/wp\/v2\/media?parent=13140"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/w3.bilkent.edu.tr\/en\/wp-json\/wp\/v2\/categories?post=13140"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/w3.bilkent.edu.tr\/en\/wp-json\/wp\/v2\/tags?post=13140"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}