A measure of multivariate kurtosis for the identification of the dynamics of a N-dimensional market-Reference-Cited by-同舟云学术

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A measure of multivariate kurtosis for the identification of the dynamics of a N-dimensional market

Published:2013-09 Issue:17 Volume:392 Page:3708-3714
ISSN:0378-4371
Container-title:Physica A: Statistical Mechanics and its Applications
language:en
Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Araújo Tanya,Dias João,Eleutério Samuel,Louçã Francisco

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference53 articles.

1. Proof that properly anticipated prices fluctuate randomly;Samuelson;Industrial Management Review,1965

2. The behaviour of stock prices;Fama;Journal of Business,1965

3. Efficient capital markets: a review of theory and empirical work;Fama;Journal of Finance,1970

4. Efficient capital markets: II;Fama;Journal of Finance,1991

5. On the impossibility of informationally efficient markets;Grossman;American Economic Review,1980

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