Essays in Financial Economics
In Chapter 1, I investigate abnormal behavior in individual stocks using two decades of high-frequency U.S. stock market data. I identify hundreds of thousands of short episodes where stocks exhibit ”explosive” behavior, deviating from the unit-root null hypothesis. These phenomena span multiple day...
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Thesis |
| Published: |
Massachusetts Institute of Technology
2024
|
| Online Access: | https://hdl.handle.net/1721.1/155853 |