SOME QUANTITATIVE TESTS FOR STOCK PRICE GENERATING MODELS AND TRADING FOLKLORE

被引:0
|
作者
OSBORNE, MFM
机构
关键词
D O I
暂无
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
引用
收藏
页码:321 / &
相关论文
共 50 条
  • [41] Stock Price Co-Movement and the Foundations of Pairs Trading
    Farago, Adam
    Hjalmarsson, Erik
    JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 2019, 54 (02) : 629 - 665
  • [42] The price impact asymmetry of institutional trading in the Chinese stock market
    Ren, Fei
    Zhong, Li-Xin
    PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2012, 391 (08) : 2667 - 2677
  • [43] FUTURES-TRADING ACTIVITY AND STOCK-PRICE VOLATILITY
    BESSEMBINDER, H
    SEGUIN, PJ
    JOURNAL OF FINANCE, 1992, 47 (05): : 2015 - 2034
  • [44] Memory effects in stock price dynamics: evidences of technical trading
    Federico Garzarelli
    Matthieu Cristelli
    Gabriele Pompa
    Andrea Zaccaria
    Luciano Pietronero
    Scientific Reports, 4
  • [45] Order characteristics and stock price evolution - An application to program trading
    Hasbrouck, J
    JOURNAL OF FINANCIAL ECONOMICS, 1996, 41 (01) : 129 - 149
  • [46] The impact of minimum trading units on stock value and price volatility
    Hauser, S
    Lauterbach, B
    JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 2003, 38 (03) : 575 - 589
  • [47] Nonlinearity matters: The stock price - trading volume relation revisited
    Behrendt, Simon
    Schmidt, Alexander
    ECONOMIC MODELLING, 2021, 98 : 371 - 385
  • [48] Price Change and Trading Volume: Behavioral Heterogeneity in Stock Market
    Li, Changtai
    Huang, Weihong
    Wang, Wei-Siang
    Chia, Wai-Mun
    COMPUTATIONAL ECONOMICS, 2023, 61 (02) : 677 - 713
  • [49] Margin-trading volatility and stock price crash risk
    Lv, Dayong
    Wu, Wenfeng
    PACIFIC-BASIN FINANCE JOURNAL, 2019, 56 : 179 - 196
  • [50] PRICE FORMATION ON STOCK EXCHANGES - THE EVOLUTION OF TRADING WITHIN THE DAY
    GERETY, MS
    MULHERIN, JH
    REVIEW OF FINANCIAL STUDIES, 1994, 7 (03): : 609 - 629