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Mean reversion in the US stock market

Citations

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Cited by:

  1. Al-Shboul, Mohammad & Alsharari, Nizar, 2019. "The dynamic behavior of evolving efficiency: Evidence from the UAE stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 73(C), pages 119-135.
  2. He, Shanshan & Wang, Yudong, 2017. "Revisiting the multifractality in stock returns and its modeling implications," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 467(C), pages 11-20.
  3. Mynhardt, H. R. & Plastun, Alex & Makarenko, Inna, 2014. "Behavior of Financial Markets Efficiency During the Financial Market Crisis: 2007-2009," MPRA Paper 58942, University Library of Munich, Germany.
  4. Dilip Kumar & S. Maheswaran, 2015. "Long memory in Indian exchange rates: an application of power-law scaling analysis," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 8(1-2), pages 90-107, July.
  5. Kristoufek, Ladislav, 2010. "On spurious anti-persistence in the US stock indices," Chaos, Solitons & Fractals, Elsevier, vol. 43(1), pages 68-78.
  6. Alvarez-Ramirez, J. & Rodriguez, E., 2018. "AR(p)-based detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 502(C), pages 49-57.
  7. Ruan, Yong-Ping & Zhou, Wei-Xing, 2011. "Long-term correlations and multifractal nature in the intertrade durations of a liquid Chinese stock and its warrant," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(9), pages 1646-1654.
  8. Power, Gabriel J. & Turvey, Calum G., 2010. "Long-range dependence in the volatility of commodity futures prices: Wavelet-based evidence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(1), pages 79-90.
  9. Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun, 2017. "Long Memory and Data Frequency in Financial Markets," Discussion Papers of DIW Berlin 1647, DIW Berlin, German Institute for Economic Research.
  10. Jiang, Zhi-Qiang & Xie, Wen-Jie & Zhou, Wei-Xing, 2014. "Testing the weak-form efficiency of the WTI crude oil futures market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 405(C), pages 235-244.
  11. George P. Papaioannou & Christos Dikaiakos & Akylas C. Stratigakos & Panos C. Papageorgiou & Konstantinos F. Krommydas, 2019. "Testing the Efficiency of Electricity Markets Using a New Composite Measure Based on Nonlinear TS Tools," Energies, MDPI, vol. 12(4), pages 1-30, February.
  12. Rim Ammar Lamouchi, 2020. "Long Memory and Stock Market Efficiency: Case of Saudi Arabia," International Journal of Economics and Financial Issues, Econjournals, vol. 10(3), pages 29-34.
  13. Orlando, Giuseppe & Bufalo, Michele, 2022. "Modelling bursts and chaos regularization in credit risk with a deterministic nonlinear model," Finance Research Letters, Elsevier, vol. 47(PA).
  14. Onali, Enrico & Goddard, John, 2011. "Are European equity markets efficient? New evidence from fractal analysis," International Review of Financial Analysis, Elsevier, vol. 20(2), pages 59-67, April.
  15. Farzan Soleymani & Eric Paquet, 2021. "Deep Graph Convolutional Reinforcement Learning for Financial Portfolio Management -- DeepPocket," Papers 2105.08664, arXiv.org.
  16. Liu, Yang & Zhuo, Xuru & Zhou, Xiaozhu, 2024. "Multifractal analysis of Chinese literary and web novels," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 641(C).
  17. Xie, Wen-Jie & Jiang, Zhi-Qiang & Zhou, Wei-Xing, 2014. "Extreme value statistics and recurrence intervals of NYMEX energy futures volatility," Economic Modelling, Elsevier, vol. 36(C), pages 8-17.
  18. Ka Po Kung, 2022. "Efficiency of the Stock Markets after the 2008 Financial Crisis: Evidence from the Four Asian Dragons," Eurasian Journal of Business and Management, Eurasian Publications, vol. 10(2), pages 101-115.
  19. G. Papaioannou & P. Papaioannou & N. Parliaris, 2014. "Modeling the stylized facts of wholesale system marginal price (SMP) and the impacts of regulatory reforms on the Greek Electricity Market," Papers 1401.5452, arXiv.org.
  20. Matsushita, Raul & Brandão, Helena & Nobre, Iuri & Da Silva, Sergio, 2024. "Differential entropy estimation with a Paretian kernel: Tail heaviness and smoothing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 646(C).
  21. Ibarra-Valdez, C. & Alvarez, J. & Alvarez-Ramirez, J., 2016. "Randomness confidence bands of fractal scaling exponents for financial price returns," Chaos, Solitons & Fractals, Elsevier, vol. 83(C), pages 119-124.
  22. Robert Ślepaczuk & Grzegorz Zakrzewski & Paweł Sakowski, 2012. "Investment strategies beating the market. What can we squeeze from the market?," Working Papers 2012-04, Faculty of Economic Sciences, University of Warsaw.
  23. Wang, Lei & Liu, Lutao, 2020. "Long-range correlation and predictability of Chinese stock prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 549(C).
  24. Yang, Yan-Hong & Shao, Ying-Hui & Shao, Hao-Lin & Stanley, H. Eugene, 2019. "Revisiting the weak-form efficiency of the EUR/CHF exchange rate market: Evidence from episodes of different Swiss franc regimes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 734-746.
  25. Ślepaczuk Robert & Sakowski Paweł & Zakrzewski Grzegorz, 2018. "Investment Strategies that Beat the Market. What Can We Squeeze from the Market?," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 14(4), pages 36-55, December.
  26. Christian L Dunis & Jason Laws & Jozef Rudy, 2011. "Profitable mean reversion after large price drops: A story of day and night in the S&P 500, 400 MidCap and 600 SmallCap Indices," Journal of Asset Management, Palgrave Macmillan, vol. 12(3), pages 185-202, August.
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