The non-random walk of stock prices: The long-term correlation between signs and sizes
We investigate the random walk of prices by developing a simple model relating the properties of the signs and absolute values of individual price changes to the diffusion rate (volatility) of prices at longer time scales. We show that this benchmark model is unable to reproduce the diffusion proper...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
2007
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