Info
- Utilizzare la checkbox di selezione a fianco di ciascun documento per attivare le funzionalità di stampa, invio email, download nei formati disponibili del (i) record.
A non-random walk down Wall Street [[electronic resource] /] / Andrew W. Lo, A. Craig MacKinlay
| A non-random walk down Wall Street [[electronic resource] /] / Andrew W. Lo, A. Craig MacKinlay |
| Autore | Lo Andrew W (Andrew Wen-Chuan) |
| Edizione | [Core Textbook] |
| Pubbl/distr/stampa | Princeton, N.J., : Princeton University Press, 1999 |
| Descrizione fisica | 1 online resource (449 p.) |
| Disciplina | 332.63/222 |
| Altri autori (Persone) | MacKinlayArchie Craig <1955-> |
| Soggetto topico |
Stocks - Prices - Mathematical models
Random walks (Mathematics) |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-283-37184-7
9786613371843 1-4008-2909-7 |
| Classificazione | QK 620 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Contents -- List of Figures -- List of Tables -- Preface -- 1. Introduction -- Part I. -- Introduction -- 2. Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test -- 3. The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation -- 4. An Econometric Analysis of Nonsynchronous Trading -- 5. When Are Contrarian Profits Due to Stock Market Overreaction -- 6. Long-Term Memory in Stock Market Prices -- Part II. -- Introduction -- 7. Multifactor Models Do Not Explain Deviations from the CAPM -- 8. Data-Snooping Biases in Tests of Financial Asset Pricing Models -- 9. Maximizing Predictability in the Stock and Bond Market -- Part III. -- Introduction -- 10. An Ordered Probit Analysis of Transaction Stock Prices -- 11. Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices -- 12. Order Imbalances and Stock Price Movements on October 19 and 20. 1987 -- References -- Index |
| Record Nr. | UNINA-9910461657203321 |
Lo Andrew W (Andrew Wen-Chuan)
|
||
| Princeton, N.J., : Princeton University Press, 1999 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
A non-random walk down Wall Street [[electronic resource] /] / Andrew W. Lo, A. Craig MacKinlay
| A non-random walk down Wall Street [[electronic resource] /] / Andrew W. Lo, A. Craig MacKinlay |
| Autore | Lo Andrew W (Andrew Wen-Chuan) |
| Edizione | [Core Textbook] |
| Pubbl/distr/stampa | Princeton, N.J., : Princeton University Press, 1999 |
| Descrizione fisica | 1 online resource (449 p.) |
| Disciplina | 332.63/222 |
| Altri autori (Persone) | MacKinlayArchie Craig <1955-> |
| Soggetto topico |
Stocks - Prices - Mathematical models
Random walks (Mathematics) |
| ISBN |
1-283-37184-7
9786613371843 1-4008-2909-7 |
| Classificazione | QK 620 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Contents -- List of Figures -- List of Tables -- Preface -- 1. Introduction -- Part I. -- Introduction -- 2. Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test -- 3. The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation -- 4. An Econometric Analysis of Nonsynchronous Trading -- 5. When Are Contrarian Profits Due to Stock Market Overreaction -- 6. Long-Term Memory in Stock Market Prices -- Part II. -- Introduction -- 7. Multifactor Models Do Not Explain Deviations from the CAPM -- 8. Data-Snooping Biases in Tests of Financial Asset Pricing Models -- 9. Maximizing Predictability in the Stock and Bond Market -- Part III. -- Introduction -- 10. An Ordered Probit Analysis of Transaction Stock Prices -- 11. Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices -- 12. Order Imbalances and Stock Price Movements on October 19 and 20. 1987 -- References -- Index |
| Record Nr. | UNINA-9910789735303321 |
|
Lo Andrew W (Andrew Wen-Chuan)
|
||
| Princeton, N.J., : Princeton University Press, 1999 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
A non-random walk down Wall Street / / Andrew W. Lo, A. Craig MacKinlay
| A non-random walk down Wall Street / / Andrew W. Lo, A. Craig MacKinlay |
| Autore | Lo Andrew W (Andrew Wen-Chuan) |
| Edizione | [Core Textbook] |
| Pubbl/distr/stampa | Princeton, N.J., : Princeton University Press, 1999 |
| Descrizione fisica | 1 online resource (449 p.) |
| Disciplina | 332.63/222 |
| Altri autori (Persone) | MacKinlayArchie Craig <1955-> |
| Soggetto topico |
Stocks - Prices - Mathematical models
Random walks (Mathematics) |
| ISBN |
1-283-37184-7
9786613371843 1-4008-2909-7 |
| Classificazione | QK 620 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Contents -- List of Figures -- List of Tables -- Preface -- 1. Introduction -- Part I. -- Introduction -- 2. Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test -- 3. The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation -- 4. An Econometric Analysis of Nonsynchronous Trading -- 5. When Are Contrarian Profits Due to Stock Market Overreaction -- 6. Long-Term Memory in Stock Market Prices -- Part II. -- Introduction -- 7. Multifactor Models Do Not Explain Deviations from the CAPM -- 8. Data-Snooping Biases in Tests of Financial Asset Pricing Models -- 9. Maximizing Predictability in the Stock and Bond Market -- Part III. -- Introduction -- 10. An Ordered Probit Analysis of Transaction Stock Prices -- 11. Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices -- 12. Order Imbalances and Stock Price Movements on October 19 and 20. 1987 -- References -- Index |
| Record Nr. | UNINA-9910824879903321 |
|
Lo Andrew W (Andrew Wen-Chuan)
|
||
| Princeton, N.J., : Princeton University Press, 1999 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||