Heteroskedastic Regression and Persistence in Random Walks at Tokyo Stock Exchange.

Katsuhiko Hayashi Lukas Pichl Taisei Kaizoji

Published in: ISNN (2) (2012)

Keyphrases

random walk
stock exchange
stock market
stock price
financial data
stock trading
dow jones
financial time series
markov chain
directed graph
investment strategies
transition probability matrix
long term
stationary distribution
spectral methods
data warehouse