Score contribution per author:
α: calibrated so average coauthorship-adjusted count equals average raw count
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 superkurtosis$superkurtosis$. Hence, the use of the current risk management techniques under intraday trading imposes threats to the stability of financial markets, as capital ratios are severely underestimated.