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Modified Holder Exponents Approach to Prediction of the USA Stock Market Critical Points and Crashes
Modified Holder Exponents USA Stock Market
2010/12/13
The paper is devoted to elaboration of a novel specific indicator based on the modified Holder exponents. This indicator has been used for forecasting critical points of financial time series and cras...
On the probability distribution of stock returns in the Mike-Farmer model
probability distribution stock returns Mike-Farmer model
2010/12/20
Recently, Mike and Farmer have constructed a very powerful and realistic behavioral model to mimick the dynamic process of stock price formation based on the empirical regularities of order placement...
Coherence-based multivariate analysis of high frequency stock market values
Coherence-based multivariate analysis high frequency stock market values
2010/12/20
The paper tackles the problem of deriving a topological structure among stock prices from high frequency historical values. Similar studies using low frequency data have already provided valuable insi...
Stock price jumps: news and volume play a minor role
Stock price jumps news volume play minor role
2010/12/17
In order to understand the origin of stock price jumps, we cross-correlate high-frequency time series of stock returns with different news feeds. We find that neither idiosyncratic news nor market wid...
Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation
stocks market asymmetries
2011/4/2
In this paper, we provide a model-free test for asymmetric correlations which suggest stocks tend to have greater correlations with the market when the market goes down than when it goes up.
The "Free and Open" "People's Market": Public Relations at the New York Stock Exchange, 1913-1929
"People's Market" Public Relations New York Stock Exchange
2010/10/8
In 1913, the New York Stock Exchange (NYSE) stumbled into public relations to counteract threats of regulation in “the public interest.” Transforming criticism into a legitimizing ideology,publicists ...