[ARTICLE] Financial data with many zero returns, caused by outdated prices, can mislead studies on price jumps - new methods reveal jumps are less frequent and impactful than previously thought.

by Roberto Reno (ESSEC Business School), Aleksey Kolokolov

Even moderate amounts of zero returns in financial data, associated with stale prices, are heavily detrimental for reliable jump inference. We harness staleness-robust estimators to reappraise the statistical features of jumps in financial markets. We find that jumps are much less frequent and much less contributing to price variation than what found by the empirical literature so far. In particular, the empirical finding that volatility is driven by a pure jump process is actually shown to be an artifact due to staleness.

[Please read the research paper here]