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20062008
most citedMarket Mill Dependence Pattern in the Stock Market: Asymmetry Structure, Nonlinear Correlations and Predictability

6 citations · 24 across the 5 of their papers we have counts for

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q-fin.ST2008★ 4 cited

Market Mill Dependence Pattern in the Stock Market: Multiscale Conditional Dynamics

Sergey Zaitsev, Alexander Zaitsev, Andrei Leonidov +1

Market Mill is a complex dependence pattern leading to nonlinear correlations and predictability in intraday dynamics of stock prices. The present paper puts together previous effo…