The non-random walk of stock prices: The long-term correlation between signs and sizes

European Physical Journal B

Volumn 64, Issue 3-4, 2008, Pages 607-614

  La Spada, G ^a,b   Farmer, J D ^a,b   Lillo, F ^a,c  

^a SANTA FE INSTITUTE   (United States)

^b LUISS UNIVERSITY   (Italy)

^c Dipartimento di Fisica e Tecnologie Relative   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

ABSOLUTE VALUES; BENCHMARK MODELS; DIFFUSION PROPERTIES; DIFFUSION RATES; LONG MEMORIES; LONG-TERM CORRELATIONS; MARKET EFFICIENCY; PRICE CHANGES; RANDOM WALKS; SIMPLE MODELING; STOCK PRICES; TIME SCALING;

CORRELATION METHODS; DIFFUSION; SEMICONDUCTOR DOPING;

COSTS;

EID: 53149114462     PISSN: 14346028     EISSN: 14346036     Source Type: Journal    
DOI: 10.1140/epjb/e2008-00244-4     Document Type: Article

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