55766725.pdf
core.ac.uk
First, we show that jumps are frequent and contribute greatly to the return volatility. We study intraday jumps on a pure limit order FX market by linking them to news announcements and liquidity shocks Our study investigates intraday jumps on the exchange market and their relation to macroeconomic
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- First, we show that jumps are frequent and contribute greatly to the return volatility.
- We study intraday jumps on a pure limit order FX market by linking them to news announcements and liquidity shocks
- Our study investigates intraday jumps on the exchange market and their relation to macroeconomic news releases and the liquidity dynamics of the limit order book.
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