Price Clustering and Discreteness: Is there Chaos behind the Noise?
Download full text from publisher
References listed on IDEAS
- Chun I. Lee & Kimberly C. Gleason & Ike Mathur, 1999. "A comprehensive examination of the compass rose pattern in futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 19(5), pages 541-564, August.
- repec:wsi:ijtafx:v:04:y:2001:i:03:n:s0219024901001097 is not listed on IDEAS
- Antoniou, Antonios & Vorlow, Constantinos E., 2004. "Recurrence quantification analysis of wavelet pre-filtered index returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(1), pages 257-262.
- Wang, Eliza & Hudson, Robert & Keasey, Kevin, 2000. "Tick size and the compass rose: further insights," Economics Letters, Elsevier, vol. 68(2), pages 119-125, August.
- Fang, Yue, 2002. "The compass rose and random walk tests," Computational Statistics & Data Analysis, Elsevier, vol. 39(3), pages 299-310, May.
- Brock, W.A. & Dechert, W.D. & LeBaron, B. & Scheinkman, J.A., 1995. "A Test for Independence Based on the Correlation Dimension," Working papers 9520, Wisconsin Madison - Social Systems.
- Clifford A. Ball & Walter N. Torous & Adrian E. Tschoegl, 1985. "The degree of price resolution: The case of the gold market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 5(1), pages 29-43, March.
- William A. Brock & Ehung G. Baek, 1991. "Some Theory of Statistical Inference for Nonlinear Science," Review of Economic Studies, Oxford University Press, vol. 58(4), pages 697-716.
- Victor Niederhoffer, 1965. "Clustering of Stock Prices," Operations Research, INFORMS, vol. 13(2), pages 258-265, April.
- Capobianco, Enrico, 2003. "Empirical volatility analysis: feature detection and signal extraction with function dictionaries," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 319(C), pages 495-518.
- Kyrtsou, Catherine & Terraza, Michel, 2002. "Stochastic chaos or ARCH effects in stock series?: A comparative study," International Review of Financial Analysis, Elsevier, vol. 11(4), pages 407-431.
- James Theiler & Stephen Eubank, 1993. "Don't Bleach Chaotic Data," Working Papers 93-05-026, Santa Fe Institute.
- Kramer, Walter & Runde, Ralf, 1997. "Chaos and the compass rose," Economics Letters, Elsevier, vol. 54(2), pages 113-118, February.
- 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.
- Gleason, Kimberly C. & Lee, Chun I. & Mathur, Ike, 2000. "An explanation for the compass rose pattern," Economics Letters, Elsevier, vol. 68(2), pages 127-133, August.
- Cho, David Chinhyung & Frees, Edward W, 1988. " Estimating the Volatility of Discrete Stock Prices," Journal of Finance, American Finance Association, vol. 43(2), pages 451-466, June.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Emmanuel Haven & Xiaoquan Liu & Chenghu Ma & Liya Shen, 2013. "Revealing the Implied Risk-neutral MGF with the Wavelet Method," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- repec:spt:apfiba:v:7:y:2017:i:4:f:7_4_2 is not listed on IDEAS
- Viviana Fernandez & Brian M. Lucey, 2006.
"Portfolio management implications of volatility shifts: Evidence from simulated data,"
The Institute for International Integration Studies Discussion Paper Series
- Viviana Fernandez & Brian M Lucey, 2006. "Portfolio management implications of volatility shifts: Evidence from simulated data," Documentos de Trabajo 219, Centro de Economía Aplicada, Universidad de Chile.
- repec:wyi:journl:002097 is not listed on IDEAS
- Constantinos E. Vorlow, 2004. "Stock Price Clustering and Discreteness: The "Compass Rose" and Predictability," Papers cond-mat/0408013, arXiv.org.
- Marisa Faggini, 2011. "Chaotic Time Series Analysis in Economics: Balance and Perspectives," Working papers 25, Former Department of Economics and Public Finance "G. Prato", University of Torino.
- repec:wyi:journl:002092 is not listed on IDEAS
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:cond-mat/0407471. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators). General contact details of provider: http://arxiv.org/ .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.