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مجموعه آموزشی جامع فارکس

بایگانی‌ها High-Frequency Data - مرجع آموزش بازار بورس و فارکس

Thomas And Patnaik-Serial Correlation In High-Frequency Data And The Link With Liquidity

This paper tests for market efficiency at high-frequencies of the Indian equity markets. Wedo this by testing the behaviour of serial correlation in firm stock prices using the Variance Ratio test on high frequency returns data. We find that at a frequency interval of five minutes,all the stocks show a pattern of mean-reversion. However, different […]

تاریخ : مارس 23rd, 0846