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... generating the price
change^.^
From the point of view of the investor,
however, specification of the shape of the
distribution of price changes is extremely
helpful. In general, the form of the ... Dow Theory, of course, is the best known
example of a chartist theory.
The Behavior of Stock- Market Prices
Eugene F. Fama
The Journal of...
the behavior of stock market prices eugene f fama the journal phần 2 pdf
... about a shift in the variance
of the first differences. Similarly, the
mean of the first differences can change
across time as the company's prospects
for future profits follow different ... between the
logarithm of this doubled price and the
logarithm of the closing price for day
t
-
1 is the first difference for day
t.
The
first difference for day t...
the behavior of stock market prices eugene f fama the journal phần 3 pot
... of the first differences had
finite variance.
From the standpoint of
consistency the most important feature
of the sample coefficients is that for every
stock the serial correlation coefficient ... interfractile range as the difference
between the values of a random variable
at two different fractiles of its distribu-
tion. The interfractile range,
R,,
of...
the behavior of stock market prices eugene f fama the journal phần 4 pps
...
.
Totals
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116
BEHAVIOR
OF
STOCK- MARKET PRICES
7
3
the sixteen-day differences the signs are
serial correlation coefficients is always ...
between
the
actual
numbers of runs of all signs and the total
expected
numbers.
'Or
for
twenty-six out of thirty stocks the total
number
Of...
the behavior of stock market prices eugene f fama the journal phần 5 pdf
...
edge of today's price change does condition our pre-
diction of the
size,
if not the
sign,
of tomorrow's
change.
86
THE JOURNAL OF BUSINESS
ences of ten stocks. Six of the stocks ...
minimizing the sum of the absolute val-
ues of the residuals from the regression
line. Since the expectation of the absolute
value of the residual...
the behavior of stock market prices eugene f fama the journal phần 6 ppsx
... to the tails
of the distribution of y in the following way:
But since the tails of the distribution of y follow
an asymptotic form of the law of Pareto, for
very large values of y this is just ... URL:
http://links.jstor.org/sici?sici=00 03- 4851%281962 03% 2 933 %3A1%3C1%3ATFODA%3E2.0.CO%3B2-C
11
The Variation of Certain Speculative Prices
Benoit Mandelbrot...
The Behaviour Of Stock-Market Prices potx
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