An explanation for the compass rose pattern
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 68 (2000)
Issue (Month): 2 (August)
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Web page: http://www.elsevier.com/locate/ecolet
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- Kramer, Walter & Runde, Ralf, 1997. "Chaos and the compass rose," Economics Letters, Elsevier, vol. 54(2), pages 113-118, February.
- Szpiro, George G., 1998. "Tick size, the compass rose and market nanostructure," Journal of Banking & Finance, Elsevier, vol. 22(12), pages 1559-1569, December.
- Harris, Lawrence, 1991. "Stock Price Clustering and Discreteness," Review of Financial Studies, Society for Financial Studies, vol. 4(3), pages 389-415.
- An-Sing Chen, 1997. "The square compass rose: the evidence from Taiwan," Journal of Multinational Financial Management, Elsevier, vol. 7(2), pages 127-144, June.
- Crack, Timothy Falcon & Ledoit, Olivier, 1996. " Robust Structure without Predictability: The "Compass Rose" Pattern of the Stock Market," Journal of Finance, American Finance Association, vol. 51(2), pages 751-62, June.
- Mitchell, Heather & McKenzie, Michael D., 2006. "A note on the Wang and Wang measure of the quality of the compass rose," Journal of Banking & Finance, Elsevier, vol. 30(12), pages 3519-3524, December.
- Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier, 2006. "A Multivariate Integer Count Hurdle Model: Theory and Application to Exchange Rate Dynamics," CoFE Discussion Paper 06-06, Center of Finance and Econometrics, University of Konstanz.
- Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier, 2007.
"An Inflated Multivariate Integer Count Hurdle Model: An Application to Bid and Ask Quote Dynamics,"
CoFE Discussion Paper
07-04, Center of Finance and Econometrics, University of Konstanz.
- Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier, 2011. "An inflated multivariate integer count hurdle model: an application to bid and ask quote dynamics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(4), pages 669-707, 06.
- Antonios Antoniou & Constantinos E. Vorlow, 2004. "Price Clustering and Discreteness: Is there Chaos behind the Noise?," Papers cond-mat/0407471, arXiv.org.
- Amilon, Henrik, 2003. "GARCH estimation and discrete stock prices: an application to low-priced Australian stocks," Economics Letters, Elsevier, vol. 81(2), pages 215-222, November.
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