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Physical Review E, 2004
We show that the dynamics of stock prices can be accurately described as a continuous time random walk with a time dependent diffusion coefficient. The time evolution of the diffusion coefficient can be derived from tick by tick databases provided the stock price is characterized in terms of a couple of values describing the best ask and the best bid ...
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We show that the dynamics of stock prices can be accurately described as a continuous time random walk with a time dependent diffusion coefficient. The time evolution of the diffusion coefficient can be derived from tick by tick databases provided the stock price is characterized in terms of a couple of values describing the best ask and the best bid ...
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What moves stock prices? [PDF]
The Journal of Portfolio Management, 1989 This paper estimates the fraction of the variance in aggregate stock returns that can be attributed to various kinds of news. First, we consider macroeconomic news and show that it is difficult to explain more than one third of the return variance from this source. Second, to explore the possibility that the stock market responds to information that is
David M. Cutler +2 more
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Advances in Economics, Management and Political Sciences, 2023
As Apple becomes a world-leading technology company, it is no doubt that its stock has brought a huge amount of profit to its investors. Many investors rely on financial modules to estimate the change in stock values and make the final decision. They contribute significantly to the decision-making of investors. This paper intends to use the composition
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As Apple becomes a world-leading technology company, it is no doubt that its stock has brought a huge amount of profit to its investors. Many investors rely on financial modules to estimate the change in stock values and make the final decision. They contribute significantly to the decision-making of investors. This paper intends to use the composition
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Stock Prices and Heteroscedasticity
The Journal of Business, 1976This paper provides evidence that the variance of returns on common stocks is not constant through time but is related to the volume of shares traded. In other words, returns on stocks are heteroscedastic. The work extends the approaches of Osborne, Granger and Morgenstern, and Clark.' Distributions of returns are known to be leptokurtic.
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Stock Price Synchronicity and Liquidity
SSRN Electronic Journal, 2008Abstract We argue and provide evidence that stock price synchronicity affects stock liquidity. Under the relative synchronicity hypothesis, higher return co-movement (i.e., higher systematic volatility relative to total volatility) improves liquidity.
Chan, K., Hameed, A., Kang, W.
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Option Prices as Predictors of Equilibrium Stock Prices
The Journal of Finance, 1982ABSTRACTThe Black‐Scholes option pricing model, modified for dividend payments, is used to calculate jointly implied stock prices and implied standard deviations. A comparison of the implied stock prices with observed stock prices reveals that the implied prices contain information regarding equilibrium stock prices that is not fully reflected in ...
Manaster, Steven +1 more
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Forecasting Stock Market Prices
The Journal of Finance, 1977building techniques to publicly available information could have permitted an investor to earn a portfolio return in excess of the return which was commensurate with the portfolio risk. The question of equity market efficiency over time is an area of constant disagreement, especially between practitioners and theoreticians. The disagreement is really a
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Insider Trading and Stock Prices
SSRN Electronic Journal, 2011Abstract We examine the informational content of insider trades and its value to market investors using a US dataset. Overall, our results support the view that insider actions have positive predictive power for future returns. However, these results may come with some caveats.
Manouchehr Tavakoli +2 more
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On the increments distribution of stock prices
Applied Mathematics-A Journal of Chinese Universities, 2001The authors construct the models of increment distributions of stock prices in two approaches. The first approach is based on limit theorems of random summation. The second is based on the statistical analysis of increment distributions of the logarithms of stock prices.
Korolev, V. Yu. +2 more
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THE DISTRIBUTION OF RETURNS OF STOCK PRICES
International Journal of Theoretical and Applied Finance, 2000We perform a phenomenological study of stock price fluctuations of individual companies. We systematically analyze two different databases covering securities from the three major US stock markets. We consider (i) the trades and quotes (TAQ) database, for which we analyze 40 million records for 1000 US companies for the 2-year period 1994–95, and (ii)
Amaral, Luís A. N. +4 more
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