10.3 Price Movements
In: Eastern European economics: EEE, Volume 9, Issue 3-4, p. 136-151
ISSN: 1557-9298
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In: Eastern European economics: EEE, Volume 9, Issue 3-4, p. 136-151
ISSN: 1557-9298
In: FOREIGN TRADE, Volume 8, p. 43-49
In: Political science quarterly: a nonpartisan journal devoted to the study and analysis of government, politics and international affairs ; PSQ, Volume 15, Issue 1, p. 14-36
ISSN: 1538-165X
In: World Bank Policy Research Working Paper No. 7589
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In: Bank of Greece Working Paper No. 104
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In: The Indian economic journal, Volume 68, Issue 2, p. 193-206
ISSN: 2631-617X
We study behaviour in the E-mini S&P (ES) commodity futures data market to test for violation of the efficient market hypothesis (EMH), and test for market inefficiency. We demonstrate that, on long timescales, a single scaling determines dynamics. ES returns behave in a more general manner than random walks. We find that deviations from the EMH, and the associated heavy-tailed distributions, are more common than expected, and price returns can be fitted with an alpha-stable Lévy distribution. Our results indicate that while the ES futures market operates close to the state predicted by the EMH, the observed transient deviations from this state fail to have a statistical origin consistent with a purely random geometric Brownian motion, and are better described by the fractal market hypothesis.
In: IMF Working Paper No. 18/153
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In: Journal of political economy, Volume 53, p. 234-257
ISSN: 0022-3808
In: The economic history review, Volume 48, Issue 1, p. 118
ISSN: 1468-0289
In: NBER Working Paper No. w4121
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