  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.
