Completion time structures of stock price movements
نویسندگان
چکیده
منابع مشابه
Completion Time Structures of Stock Price Movements∗
This paper proposes to model movements in more than a century of daily US stock prices as the outcome of a multi-state marked point process and studies the time it takes for stock prices to complete an up or a down move of a certain size. We present a new econometric specification for a class of dynamic models that account for autoregressive conditional duration effects. We also present a metho...
متن کاملCollective behavior of stock price movements in an emerging market.
To investigate the universality of the structure of interactions in different markets, we analyze the cross-correlation matrix C of stock price fluctuations in the National Stock Exchange (NSE) of India. We find that this emerging market exhibits strong correlations in the movement of stock prices compared to developed markets, such as the New York Stock Exchange (NYSE). This is shown to be due...
متن کاملUniversal Behavior of Extreme Price Movements in Stock Markets
Many studies assume stock prices follow a random process known as geometric Brownian motion. Although approximately correct, this model fails to explain the frequent occurrence of extreme price movements, such as stock market crashes. Using a large collection of data from three different stock markets, we present evidence that a modification to the random model--adding a slow, but significant, ...
متن کاملMining User-Generated Financial Content to Predict Stock Price Movements
Sentiment extraction from user-generated online content to predict stock price movements has become an active research field. This paper gives an overview of common approaches to this topic and analyzes the content generated by the financial social network Seekingalpha.com. The first finding is that a large proportion of users’ attention is focused on only a few stocks. Regarding these stocks i...
متن کاملForecasting Stock Price Movements Based on Opinion Mining and Sentiment Analysis: An Application of Support Vector Machine and Twitter Data
Today, social networks are fast and dynamic communication intermediaries that are a vital business tool. This study aims at examining the views of those involved with Facebook stocks so that we can summarize their views to predict the general behavior of this stock and collectively consider possible Facebook stock price movements, and create a more accurate pattern compared to previous patterns...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Annals of Finance
سال: 2005
ISSN: 1614-2446,1614-2454
DOI: 10.1007/s10436-005-0012-0