Does price limit affect the autocorrelation of stock return series? A Monte Carlo experiment

Xicai Guo; Yue Fang; Zhi'an Liang

doi:10.1109/bife.2010.98

Does price limit affect the autocorrelation of stock return series? A Monte Carlo experiment

Xicai Guo (First Author), Yue Fang (Participant Author), Zhi'an Liang (Participant Author)

决策科学与管理信息系统

科研成果: 书/报告/会议事项章节 › 图书章节

源语言	英语
主期刊名	proceedings - 3rd international conference on business intelligence and financial engineering
出版商	3
页	1130
卷	24
ISBN（印刷版）	9780769541167
DOI	https://doi.org/10.1109/bife.2010.98
出版状态	已出版 - 2010
活动	2010 Third International Conference on Business Intelligence and Financial Engineering - Hong Kong 期限: 13 8月 2010 → 15 8月 2010

会议

会议	2010 Third International Conference on Business Intelligence and Financial Engineering
市	Hong Kong
时期	13/08/10 → 15/08/10

关键词

Monte Carlo experiment
error term distribution hypothesis
financial markets
price limit regulation
random walk testing
stock price
stock return series autocorrelation

成果物的来源

Scopus

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10.1109/bife.2010.98许可: CC BY-NC-ND

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引用此

Guo, X., Fang, Y., & Liang, Z. (2010). Does price limit affect the autocorrelation of stock return series? A Monte Carlo experiment. 在 proceedings - 3rd international conference on business intelligence and financial engineering (卷 24, 页码 1130). 3. https://doi.org/10.1109/bife.2010.98

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author = "Xicai Guo and Yue Fang and Zhi'an Liang",

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Guo, X, Fang, Y & Liang, Z 2010, Does price limit affect the autocorrelation of stock return series? A Monte Carlo experiment. 在 proceedings - 3rd international conference on business intelligence and financial engineering. 卷 24, 3, 页码 1130, 2010 Third International Conference on Business Intelligence and Financial Engineering, Hong Kong, 13/08/10. https://doi.org/10.1109/bife.2010.98

Does price limit affect the autocorrelation of stock return series? A Monte Carlo experiment. / Guo, Xicai (First Author); Fang, Yue (Participant Author); Liang, Zhi'an (Participant Author).
proceedings - 3rd international conference on business intelligence and financial engineering. 卷 24 3, 2010. 页码 1130.

科研成果: 书/报告/会议事项章节 › 图书章节

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KW - financial markets

KW - price limit regulation

KW - random walk testing

KW - stock price

KW - stock return series autocorrelation

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