Predicting stock price movements: an ordered probit analysis on the Australian Securities Exchange

DOI10.1080/14697688.2010.494612zbMath1278.91194OpenAlexW2150693748MaRDI QIDQ2869970

Joey Wenling Yang, Jerry Parwada

Publication date: 17 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2010.494612

zbMATH Keywords

stock pricesordered probitautoregressive conditional durationtrade imbalance

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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Cites Work

• Analysing liquidity and absorption limits of electronic markets with volume durations
• Continuous Auctions and Insider Trading
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Durations, volume and the prediction of financial returns in transaction time
• Polychotomous Quantal Response in Biological Assay

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