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Market Making and Reversal on the Stock Exchange

 

作者: Victor Niederhoffer,   M.F. M. Osborne,  

 

期刊: Journal of the American Statistical Association  (Taylor Available online 1966)
卷期: Volume 61, issue 316  

页码: 897-916

 

ISSN:0162-1459

 

年代: 1966

 

DOI:10.1080/01621459.1966.10482183

 

出版商: Taylor & Francis Group

 

数据来源: Taylor

 

摘要:

The accurate record of stock market ticker prices displays striking properties of dependence. We find for example that after a decline of 1/8 of a point between transactions, an advance on the next transaction is three times as likely as a decline. Further examinations disclose that after two price changes in the same direction, the odds in favor of a continuation in that direction are almost twice as great as after two changes in opposite directions.

 

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