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On the probability distribution of stock returns in the Mike-Farmer model
probability distribution stock returns Mike-Farmer model
2010/12/20
Recently, Mike and Farmer have constructed a very powerful and realistic behavioral model to mimick the dynamic process of stock price formation based on the empirical regularities of order placement...
Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation
stocks market asymmetries
2011/4/2
In this paper, we provide a model-free test for asymmetric correlations which suggest stocks tend to have greater correlations with the market when the market goes down than when it goes up.