3 papers
physics.soc-ph2005
Accounting for outliers and calendar effects in surrogate simulations of stock return sequences
Alexandros Leontitsis, Constantinos E. Vorlow
Surrogate Data Analysis (SDA) is a statistical hypothesis testing framework for the determination of weak chaos in time series dynamics. Existing SDA procedures do not account prop…
cond-mat.other2004
Stock Price Clustering and Discreteness: The "Compass Rose" and Predictability
Constantinos E. Vorlow
In this letter we investigate the information provided by the "compass rose" (Crack, T.F. and Ledoit, O. (1996), Journal of Finance, 51(2), pg. 751-762) patterns revealed in phase…
cond-mat.other2004
Price Clustering and Discreteness: Is there Chaos behind the Noise?
Antonios Antoniou, Constantinos E. Vorlow
We investigate the "compass rose" (Crack, T.F. and Ledoit, O. (1996), Journal of Finance, 51(2), pg. 751-762) patterns revealed in phase portraits (delay plots) of stock returns. T…