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Superkurtosis

Degiannakis, Stavros; Filis, George; Siourounis, Grigorios; Trapani, Lorenzo

Authors

Stavros Degiannakis

George Filis

Grigorios Siourounis



Abstract

Very little is known on how traditional risk metrics behave under intraday trading. We fill this void by examining the finiteness of the returns' moments and assessing the impact of their infinity in a risk management framework. We show that when intraday trading is considered, assuming finite higher order moments, potential losses are materially larger than what the theory predicts, and they increase exponentially as the trading frequency increases—a phenomenon we call (Formula presented.). Hence, the use of the current risk management techniques under intraday trading imposes threats to the stability of financial markets, as capital ratios are severelyunderestimated.

Citation

Degiannakis, S., Filis, G., Siourounis, G., & Trapani, L. (2022). Superkurtosis. Journal of Money, Credit and Banking, https://doi.org/10.1111/jmcb.12988

Journal Article Type Article
Acceptance Date Mar 28, 2022
Online Publication Date Oct 18, 2022
Publication Date Oct 18, 2022
Deposit Date Mar 30, 2022
Publicly Available Date Oct 19, 2024
Journal Journal of Money, Credit and Banking
Print ISSN 0022-2879
Electronic ISSN 1538-4616
Publisher Wiley
Peer Reviewed Peer Reviewed
DOI https://doi.org/10.1111/jmcb.12988
Keywords Economics and Econometrics; Finance; Accounting
Public URL https://nottingham-repository.worktribe.com/output/7679408
Publisher URL https://onlinelibrary.wiley.com/doi/10.1111/jmcb.12988
Additional Information This is the peer reviewed version of the following article: Stavros Degiannakis, George Filis, Grigorious Siavounis, Lorenzo Trapani, Superkurtosis, Journal of Money, Credit and Banking, which has been published in final form at <a style="text-decoration: underline;" href="https://onlinelibrary.wiley.com/doi/10.1111/jmcb.12988" target="_blank">https://onlinelibrary.wiley.com/doi/10.1111/jmcb.12988</a>