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Comment on ``Tests of scaling and universality of the distributions of trade size and share volume: Evidence from three distinct markets by Plerou and Stanley, Phys. Rev. E 76, 046109 (2007)。
Tests scaling universality distributions trade size share volume Evidence
2010/12/17
Comment on ``Tests of scaling and universality of the distributions of trade size and share volume: Evidence from three distinct markets" by Plerou and Stanley, Phys. Rev. E 76, 046109 (2007)。
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.