---
title: Self-Exciting Jump Structure in Cryptocurrencies vs. S&P 500
url: https://www.ml-quant.com/papers/ssrn/4545131/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4545131
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4545131
featured: 2023-08-24
citations: unknown
topic: Crypto & DeFi
---


# Self-Exciting Jump Structure in Cryptocurrencies vs. S&P 500

The research introduces a model that captures the dynamics of daily cryptocurrency returns, showing evidence of self-triggered clustering and more identified jumps than previous models.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4545131
- Identifier: SSRN 4545131
- Released: 2023-08-18
- First featured: Quant Letter No. 13 (2023-08-24): https://www.ml-quant.com/issues/2023-08-24/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Crypto & DeFi

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