Jian Wang

University of Hull

Cottingham Road

Hull, Great Britain HU6 7RX

United Kingdom

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Scholarly Papers (1)

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Large Price Changes and Pervasive Non-Linearity in Financial Markets: Implications and Interpretations

Leeds University Business School Working Paper No. 18-03
Number of pages: 47 Posted: 24 Mar 2017
University of Leeds, Hull University Business School (HUBS), University of Hull and ICMA Centre, Henley Business School
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Abstract:

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Stock Return; Predictability; Large Price Changes; Autocorrelation; Non-linearity; Technical Trading