Intraday price reversals in the US stock index futures market: A 15-year study
Author:
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference11 articles.
1. Price reversals, bid–ask spreads and market efficiency;Atkins;Journal of Financial and Quantitative Analysis,1990
2. On the contrarian investment strategy;Chan;Journal of Business,1988
3. The weekly pattern in stock returns: Cash versus futures: A note;Cornell;Journal of Finance,1985
4. Intraday futures volatility and theories of market behavior;Daigler;Journal of Futures Markets,1997
5. The short-run dynamics of the price adjustment to new information;Ederington;Journal of Financial and Quantitative Analysis,1995
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