Modeling and measuring intraday overreaction of stock prices
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Andrey Kudryavtsev, 2012. "Short-Term Stock Price Reversals May Be Reversed," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Eastern Macedonia and Thrace Institute of Technology (EMATTECH), Kavala, Greece, vol. 5(3), pages 129-146, December.
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More about this item
KeywordsIntraday overreaction; OHLC data; Lévy processes; Stochastic time changes; Buy on bad news;
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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