Journal Article Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test Get access Andrew W. Lo, Andrew W. Lo University of Pennsylvania Search...
This book is an ambitious effort by three well-known and well-respected scholars to fill an acknowledged void in the literature—a text covering the burgeoning field of empirical...
ABSTRACT The predictability of an asset's returns will affect the prices of options on that asset, even though predictability is typically induced by the drift, which does not e...
We estimate the conditional distribution of trade-to-trade price changes using ordered probit, a statistical model for discrete random variables. This approach recognizes that t...
h-index: Number of publications with at least h citations each.