Nonrandom price movements

Dilip B. Madan

doi:10.1016/j.frl.2016.02.003

2016-05-01

PRE

Dilip B. Madan *

DOI：10.1016/j.frl.2016.02.003

原文链接

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摘要

En 中文

Local peaks and valleys are constructed as time points with prices respectively above and below the two adjacent values. We demonstrate, quite generally, that under stylized financial model assumptions, the expected inter peak and inter valley times should be 4 days. The times observed in data are statistically significantly below this value, possibly questioning stylized assumptions. Our investigation thereby lends some support to the presence of mean reversion and the related activities of technical and algorithmic traders seeking to benefit from such a structure. (C) 2016 Elsevier Inc. All rights reserved.

Keyword:

Variance gamma

Geometric Brownian motion

Momentum

Mean reversion

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期刊

Finance Research Letters

IF:

6.9

论文数:

9.0K

被引数:

2.8W

机构

University System of Maryland

学者数:

6.4W

论文数: 5.6W

被引数: 113

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