The non-random walk of stock prices: the long-term correlation between signs and sizes-Reference-Cited by-同舟云学术

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The non-random walk of stock prices: the long-term correlation between signs and sizes

Published:2008-06-25 Issue:3-4 Volume:64 Page:607-614
ISSN:1434-6028
Container-title:The European Physical Journal B
language:en
Short-container-title:Eur. Phys. J. B

Author:

La Spada G.,Farmer J. D.,Lillo F.

Publisher

Springer Science and Business Media LLC

Subject

Condensed Matter Physics,Electronic, Optical and Magnetic Materials

Link

http://link.springer.com/content/pdf/10.1140/epjb/e2008-00244-4.pdf

Reference34 articles.

1. L. Bachelier, in The Random Character of Stock Prices, edited by H.P. Cooper (Cambridge, 1964)

2. P. Cootner, The random character of stock prices (MIT Press, Cambridge, MA, 1964)

3. R.F. Engle, Econometrica 50, 987 (1982)

4. Z. Ding, C.W.J. Granger, R.F. Engle, J. Empir. Finance 1, 83 (1993)

5. F.J. Breidt, N. Crato, P.J.F. de Lima, Working paper (Johns Hopkins University, 1993)

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