Robust structure without predictability: The ''compass rose'' pattern of the stock market

被引：25

作者：

Crack, TF

Ledoit, O

机构：

[1] UNIV CALIF LOS ANGELES,ANDERSON GRAD SCH MANAGEMENT,LOS ANGELES,CA 90024

[2] MIT,CAMBRIDGE,MA 02139

来源：

JOURNAL OF FINANCE | 1996年 / 51卷 / 02期

关键词：

D O I：

10.2307/2329379

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Plotting daily stock returns against themselves with one day's lag reveals a striking pattern. Evenly spaced lines radiate from the origin the thickest lines point in the major directions of the compass; This ''compass rose'' pattern appears in every stock. It is caused by discreteness. However, counter-examples demonstrate that the existence of exchange-imposed tick sizes (e.g. eighths) is neither necessary nor sufficient for the compass rose. The compass rose cannot be used to make abnormal profits: it is structure without predictability. Among other consequences, the compass rose may bias estimation of ARCH models, and tests for chaos.

引用

页码：751 / 762

页数：12

共 12 条

[1]

[Anonymous], 1992, TECHNICAL ANAL STOCK

[2] THE DEGREE OF PRICE RESOLUTION - THE CASE OF THE GOLD MARKET [J].