SPECTRAL ANALYSIS OF NEW YORK STOCK MARKET PRICES
New York stock price series are analyzed by a new statistical technique. It is found that short-run movements of the series obey the simple random walk hypothesis proposed by ea...
Publications
3 shownTHE RANDOM‐WALK HYPOTHESIS OF STOCK MARKET BEHAVIORa
SUMMARY A model of the form x t ‐ x t‐1 = e t where x t is the price of a share at time t and e t forms a sequence of independent random variates is postulated as a model of the...
Frequent Co-Authors
Researcher Info
- h-index
- 3
- Publications
- 3
- Citations
- 4,615
- Institution
- University of Nottingham
External Links
Impact Metrics
h-index
3
h-index: Number of publications with at least h citations each.