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Frequency effects on predictability of stock returns
9 references·0 citing·44 second hop
Frequency effects on predictability of stock returns (2014)Frequency effects on predictability of st…High Frequency Trading and the New-Market Makers (2012)High Frequency Trading and th…The price is right? Guidelines for pricing to enhance profitability (2011)The price is right? Guideline…Limits of Predictability in Human Mobility (2010)Limits of Predictability in H…Energy prices, multiple structural breaks, and efficient market hypothesis (2008)Energy prices, multiple struc…Efficient Market Hypothesis (EMH): Past, Present and Future (2008)Efficient Market Hypothesis (…The Chinese stock market : efficiency, predictability and profitability (2004)The Chinese stock market : ef…A Test for Independence Based on the Correlation Dimension (2001)A Test for Independence Based…A test for independence based on the correlation dimension (1996)A test for independence based…Implications of Nonlinear Dynamics for Financial Risk Management (1993)Implications of Nonlinear Dyn…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)Reality mining: sensing complex social systems (2005)The origin of bursts and heavy tails in human dynamics (2005)Understanding individual human mobility patterns (2008)Modelling the scaling properties of human mobility (2010)Friendship and mobility (2011)A universal model for mobility and migration patterns (2012)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The relationship between spot and futures prices: Evidence from the crude oil market (1999)Why do regime-switching models forecast so badly? (1999)Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models (2003)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Long memory in US disaggregated petroleum consumption: Evidence from univariate and multivariate LM tests for fractional integration (2009)Are shocks to commodity prices persistent? (2010)Volatility spillover from world oil spot markets to aggregate and electricity stock index returns in Turkey (2010)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Efficient Capital Markets: II (1991)History of the Efficient Market Hypothesis (2012)The Rise and Fall of Technical Trading Rule Success (2013)A simple but powerful measure of market efficiency (2019)On estimating the expected return on the market (1980)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Market Liquidity and Funding Liquidity (2008)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)High frequency market microstructure (2015)The Flash Crash: High‐Frequency Trading in an Electronic Market (2017)From value chain to value constellation: designing interactive strategy. (1993)Remembering versus Knowing: Issues in Buyers' Processing of Price Information (1999)Pricing of Conspicuous Goods: A Competitive Analysis of Social Effects (2005)How corporate reputation affects customers’ reactions to price increases (2013)Gamifying the digital shopping experience: games without monetary participation incentives increase customer satisfaction and loyalty (2020)The Role of Resource Consumption Accounting in Achieving Competitive Prices and Sustainable Profitability (2022)11 Nonlinear time series, complexity theory, and finance (1996)Linear and Non-linear (Non-)Forecastability of High-frequency Exchange Rates (1997)Are technological innovations and green energy prosperity swiftly reduce environmental deficit in China and United States? Learning from two sides of environmental sustainability (2023)The Evolving and Relative Efficiencies of Stock Markets: Empirical Evidence from Rolling Bicorrelation Test Statistics (2006)Are Chinese stock markets efficient? Further evidence from a battery of nonlinearity tests (2008)
this work references cited by second hop

References

  • 1996A test for independence based on the correlation dimension3,526 cited
  • 2010Limits of Predictability in Human Mobility3,230 cited
  • 2012High Frequency Trading and the New-Market Makers807 cited
  • 1993Implications of Nonlinear Dynamics for Financial Risk Management210 cited
  • 2001A Test for Independence Based on the Correlation Dimension175 cited
  • 2008Efficient Market Hypothesis (EMH): Past, Present and Future168 cited
  • 2008Energy prices, multiple structural breaks, and efficient market hypothesis92 cited
  • 2011The price is right? Guidelines for pricing to enhance profitability43 cited
  • 2004The Chinese stock market : efficiency, predictability and profitability34 cited

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