Results 271 to 280 of about 86,729 (295)
Advanced Materials Interfaces, EarlyView.Detecting single molecules on large interfaces is challenging due to minimal perturbations on the sensing surface. Some biological systems achieve this feat using amplification mechanisms, but their molecular foundations remain unclear. To investigate, a Design of Experiments (DoE) approach examines how pH and ionic strength in conditioning solutions ...
Michele Catacchio +9 more
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SSRN Electronic Journal, 2010 We study the relation between the ownership structure of financial assets and non-fundamental risk. We define an asset to be fragile if it is susceptible to non-fundamental shifts in demand. An asset can be fragile because of concentrated ownership, or because its owners face correlated or volatile liquidity shocks, i.e., they must buy or sell at the ...
Robin Greenwood +4 more
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Review of Financial Studies, 1992
The authors undertake a comprehensive investigation of price and volume co-movement using daily New York Stock Exchange data from 1928 to 1987. They adjust the data to take into account well-known calendar effects and long-run trends. To describe the process, they use a seminonparametric estimate of the joint density of current price change and volume ...
Gallant, A Ronald +2 more
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The authors undertake a comprehensive investigation of price and volume co-movement using daily New York Stock Exchange data from 1928 to 1987. They adjust the data to take into account well-known calendar effects and long-run trends. To describe the process, they use a seminonparametric estimate of the joint density of current price change and volume ...
Gallant, A Ronald +2 more
openaire +5 more sources
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 ...
openaire +4 more sources
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 Prices and the Supply of Information
The Journal of Finance, 1991ABSTRACTWe develop a model in which the dependence of the brokerage commission rate on share price provides an incentive for brokers to produce research reports on firms with low share prices. Stock splits therefore affect the attention paid to a firm by investment analysts.
Brennan, Michael J, Hughes, Patricia J
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International Review of Economics & Finance, 2021
Abstract We apply concepts form machine learning to forecast stock prices. First, we introduce the general (3 by 3) forecasting model, in which the financial markets are populated by three types of stocks: Overpriced stocks, underpriced stocks and fairly priced stocks.
Arie Harel, Giora Harpaz
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Abstract We apply concepts form machine learning to forecast stock prices. First, we introduce the general (3 by 3) forecasting model, in which the financial markets are populated by three types of stocks: Overpriced stocks, underpriced stocks and fairly priced stocks.
Arie Harel, Giora Harpaz
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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 pricing: Stock price, stock velocity and the acceleration Lagrangian
Physica A: Statistical Mechanics and its Applications, 2014The industry standard Black–Scholes option pricing formula is based on the current value of the underlying security and other fixed parameters of the model. The Black–Scholes formula, with a fixed volatility, cannot match the market’s option price; instead, it has come to be used as a formula for generating the option price, once the so called implied ...
Belal E. Baaquie +2 more
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