摘要翻译：
为了了解股票价格跳跃的起源，我们交叉相关的高频时间序列的股票收益与不同的新闻饲料。我们发现，无论是特质性新闻还是市场性新闻都不能解释价格上涨的频率和幅度。我们发现，围绕跳跃和围绕新闻的波动模式有很大不同：跳跃之后是波动性增加，而新闻之后是波动性降低。在这两种情况下，波动率放松的形状也明显不同。最后，我们提供了直接的证据，即大量的交易量不是价格大幅上涨的原因。我们推测，大多数价格跳涨是由接近流动性消失点的订单流波动引起的。
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英文标题：
《Stock price jumps: news and volume play a minor role》
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作者：
Armand Joulin, Augustin Lefevre, Daniel Grunberg, Jean-Philippe
  Bouchaud (CFM)
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最新提交年份：
2008
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Physics        物理学
二级分类：Data Analysis, Statistics and Probability        数据分析、统计与概率
分类描述：Methods, software and hardware for physics data analysis: data processing and storage; measurement methodology; statistical and mathematical aspects such as parametrization and uncertainties.
物理数据分析的方法、软硬件：数据处理与存储；测量方法；统计和数学方面，如参数化和不确定性。
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一级分类：Physics        物理学
二级分类：Physics and Society        物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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英文摘要：
  In order to understand the origin of stock price jumps, we cross-correlate high-frequency time series of stock returns with different news feeds. We find that neither idiosyncratic news nor market wide news can explain the frequency and amplitude of price jumps. We find that the volatility patterns around jumps and around news are quite different: jumps are followed by increased volatility, whereas news tend on average to be followed by lower volatility levels. The shape of the volatility relaxation is also markedly different in the two cases. Finally, we provide direct evidence that large transaction volumes are_not_ responsible for large price jumps. We conjecture that most price jumps are induced by order flow fluctuations close to the point of vanishing liquidity.
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PDF链接：
https://arxiv.org/pdf/0803.1769