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- W1564235634 abstract "What triggers extreme exchange-rate returns? Though news is the source of volatility in standard theoretical models, in reality volatility is often unrelated to news. This paper shows that extreme exchange-rate returns -- and, more generally, high kurtosis of returns -- are statistically inevitable even in the absence of news. We identify four microstructural sources of return kurtosis in price-contingent order flow: (1) high kurtosis in the distribution of price-contingent order sizes; (2) clustering of price-contingent order executions at certain times of day; (3) clustering of order executions at certain price levels; and (4) the tendency of positive-feedback trading to propagate trends. Using simulations calibrated to price-contingent orders placed at a major foreign exchange dealing bank we show that when each factor operates in isolation, the one that contributes most to kurtosis in returns is kurtosis in the order-size distribution. When the factors operate simultaneously, however, their interactions prove far more important. Extreme returns in the absence of news should be viewed as natural rather than anomalous." @default.
- W1564235634 created "2016-06-24" @default.
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- W1564235634 date "2008-01-01" @default.
- W1564235634 modified "2023-09-23" @default.
- W1564235634 title "Extreme Returns Without News: A Microstructural Explanation" @default.
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- W1564235634 doi "https://doi.org/10.2139/ssrn.1102750" @default.
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