Mean reversion in the US stock market

DOI10.1016/J.CHAOS.2007.09.085MaRDI QIDQ601386zbMATH OpenOpenAlexFDO

Authors Apostolos Serletis, Aryeh Adam Rosenberg

Publication date 4 November 2010

Published in Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.chaos.2007.09.085

Mathematics Subject Classification ID

Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Economic time series analysis (91B84)

Recommendations

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Cites work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• scientific article; zbMATH DE number 3820911 (Why is no real title available?)
• scientific article; zbMATH DE number 2060078 (Why is no real title available?)
• Introduction to Econophysics
• Long-Term Memory in Stock Market Prices
• No evidence of chaos but some evidence of dependence in the US stock market.
• Portfolio Analysis in a Stable Paretian Market
• Randomly Modulated Periodic Signals in Alberta's Electricity Market

Cited in

(4)

• Revisiting the multifractality in stock returns and its modeling implications
• Mean Reversion in Stock Prices: Implications from a Production Based Asset Pricing Model
• Long memory and data frequency in financial markets
• Differential entropy estimation with a Paretian kernel: tail heaviness and smoothing

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