The Informational Loadings of a StockVassilis Polimenis*
School of Law and Economics, Aristotle University, Thessaloniki, Greece
- *Corresponding Author:
- Vassilis Polimenis
School of Law and Economics, Aristotle University
Thessaloniki 54124, Greece
E-mail: [email protected]
Received Date: November 01, 2013; Accepted Date: January 07, 2014; Published Date: January 09, 2014
Citation: Polimenis V (2014) The Informational Loadings of a Stock. J Stock Forex Trad 3: 114 doi: 10.4172/2168-9458.1000114
Copyright: © 2014 Polimenis V. This is an open-access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.
In this short paper, I selectively review some recent developments related to the idea that jumps in stock prices incorporate the most valuable information, and thus the quantification of a stock’s exposure to jump events is important for financial risk management and portfolio construction. There are two main methodologies of estimating jump betas: a) the more widely used high or ultra high frequency procedures that rely on the asymptotical behavior of elaborate and sophisticated econometric constructs, such as the bi-power variation or local averaging techniques in order to isolate market microstructure noise at high frequencies, and b) very recently a new non-parametric skew-based methodology that does not rely on the use of high frequency data and is thus immune to market microstructure noise.