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Market efficiency before and after the introduction of electronic trading at the Toronto stock exchange
10 references·1 citing·33 second hop
Market efficiency before and after the introduction of electronic trading at the Toronto stock exchange (1997)Market efficiency before and after the in…Electronic Trading, Market Structure and Liquidity (1994)Electronic Trading, Market St…Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Simple Technical Trading Rule…Long-Term Memory in Stock Market Prices (1991)Long-Term Memory in Stock Mar…Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)Chaos and Nonlinear Dynamics:…Nonlinear Dynamics and Stock Returns (1989)Nonlinear Dynamics and Stock …Long-term Memory in Stock Market Prices (1989)Long-term Memory in Stock Mar…The Expected Value of the Adjusted Rescaled Hurst Range of Independent Normal Summands (1976)The Expected Value of the Adj…The expected value of the adjusted rescaled Hurst range of independent normal summands (1976)The expected value of the adj…Some New Stock-Market Indexes (1966)Some New Stock-Market IndexesFilter Rules and Stock-Market Trading (1966)Filter Rules and Stock-Market…THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)THE EVOLUTION OF STOCK MARKET…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)An Evolutionary Theory of Economic Change. (1983)Stock return predictability and the adaptive markets hypothesis: Evidence from century-long U.S. data (2011)Multifractal analysis of financial markets: a review (2019)Machine learning techniques and data for stock market forecasting: A literature review (2022)The equity premium: A puzzle (1985)ARCH modeling in finance (1992)A test for independence based on the correlation dimension (1996)Introductory Econometrics for Finance (2008)Price Movements in Speculative Markets : Trends or Random Walks (1961)The Behavior of Stock-Market Prices (1965)Forecasts of Future Prices, Unbiased Markets, and "Martingale" Models (1966)The Adaptive Markets Hypothesis (2004)Fractional Brownian Motions, Fractional Noises and Applications (1968)A comment on measuring the Hurst exponent of financial time series (2004)Estimation of Hurst exponent revisited (2006)Does the Stock Market Overreact? (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Are Investors Reluctant to Realize Their Losses? (1998)Generalized autoregressive conditional heteroskedasticity (1986)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Long memory processes and fractional integration in econometrics (1996)Modeling and pricing long memory in stock market volatility (1996)The Adjustment of Stock Prices to New Information (1969)Risk, Return, and Equilibrium: Empirical Tests (1973)Efficient Capital Markets: II (1991)Empirical properties of asset returns: stylized facts and statistical issues (2001)Hurst analysis of electricity price dynamics (2000)Scaling in the Norwegian stock market (2000)Quantification of Long-Range Persistence in Geophysical Time Series: Conventional and Benchmark-Based Improvement Techniques (2013)
this work references cited by second hop

References

  • 1992Simple Technical Trading Rules and the Stochastic Properties of Stock Returns2,311 cited
  • 1991Long-Term Memory in Stock Market Prices1,756 cited
  • 1989Long-term Memory in Stock Market Prices1,448 cited
  • 1991Chaos and Nonlinear Dynamics: Application to Financial Markets1,046 cited
  • 1966Filter Rules and Stock-Market Trading832 cited
  • 1989Nonlinear Dynamics and Stock Returns778 cited
  • 1966Some New Stock-Market Indexes538 cited
  • 1976The expected value of the adjusted rescaled Hurst range of independent normal summands194 cited
  • 1976The Expected Value of the Adjusted Rescaled Hurst Range of Independent Normal Summands138 cited
  • 1994Electronic Trading, Market Structure and Liquidity113 cited

Cited by

  • 2010THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE415 cited

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