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)

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
1130
24
ISBN(印刷版)9780769541167
DOI
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 201015 8月 2010

会议

会议2010 Third International Conference on Business Intelligence and Financial Engineering
Hong Kong
时期13/08/1015/08/10

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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