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20052008
most citedMarket Mill Dependence Pattern in the Stock Market: Asymmetry Structure, Nonlinear Correlations and Predictability

6 citations · 29 across the 6 of their papers we have counts for

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Showing 2007 · physics.soc-phShow all

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physics.soc-ph2007★ 4 cited

Market Mill Dependence Pattern in the Stock Market: Modeling of Predictability and Asymmetry via Multi-Component Conditional Distribution

Andrei Leonidov, Vladimir Trainin, Alexander Zatsev +1

Recent studies have revealed a number of striking dependence patterns in high frequency stock price dynamics characterizing probabilistic interrelation between two consequent price…