Superkurtosis

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

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. (2023). Superkurtosis. Journal of Money, Credit and Banking, 55(8), 2061-2091. https://doi.org/10.1111/jmcb.12988

• Journal Article Type: Article
• Acceptance Date: Mar 28, 2022
• Online Publication Date: Oct 18, 2022
• Publication Date: 2023-12
• 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
• Volume: 55
• Issue: 8
• Pages: 2061-2091
• 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: DEGIANNAKIS, S., FILIS, G., SIOUROUNIS, G. and TRAPANI, L. (2023), Superkurtosis. Journal of Money, Credit and Banking, 55: 2061-2091. https://doi.org/10.1111/jmcb.12988, which has been published in final form at https://onlinelibrary.wiley.com/doi/10.1111/jmcb.12988