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.
点击下载:
PDF (1289KB)
返 回