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More classic research
June 7, 2024 |
Market Making and Reversal on the Stock Exchange
Victor Niederhoffer, University of Chicago, and M. F. M. Osborne, Washington, D. C.
Source: Journal of the American Statistical Association, Vol. 61, No. 316, (Dec., 1966), pp. 897-916
The accurate record of stock market ticker prices displays striking properties of dependence. We find for example that after a decline of 1/8 of a point between transactions, an advance on the next transaction is three times as likely as a decline. Further examinations disclose that after two price changes in the same direction, the odds in favor of a continuation in that direction are almost twice as great as after two changes in opposite directions.
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