Computational experiments successfully predict the emergence of autocorrelations in ultra-high-frequency stock returns
Jian Zhou, Gao-Feng Gu, Zhi-Qiang Jiang, Xiong Xiong, Wei Chen, Wei Zhang, Wei-Xing Zhou
| Year of publication: |
December 2017
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|---|---|
| Authors: | Zhou, Jian ; Gu, Gao-Feng ; Jiang, Zhi-Qiang ; Xiong, Xiong ; Chen, Wei ; Zhang, Wei ; Zhou, Wei-Xing |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 50.2017, 4, p. 579-594
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| Subject: | Computational experiment | Order-driven model | Market efficiency | Order direction | Long memory | Effizienzmarkthypothese | Efficient market hypothesis | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Experiment | Autokorrelation | Autocorrelation | Computerunterstützung | Computerized method | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-016-9612-1 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011783456