The nonlinear price dynamics of U.S. equity ETFs

DOI10.1016/j.jeconom.2014.05.009zbMath1312.91075OpenAlexW3121961180MaRDI QIDQ473234

Mark DeSantis, Akin Sayrak, Gunduz Caginalp

Publication date: 24 November 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2014.05.009

zbMATH Keywords

nonlinear dynamicsvolatilitymomentumexchange-traded funds

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82)

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Cites Work

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• A kinetic thermodynamics approach to the psychology of fluctuations in financial markets
• Asset flow and momentum: deterministic and stochastic equations
• Nonlinear Dynamics and Stability in a Multigroup Asset Flow Model
• Statistical inference and modelling of momentum in stock prices
• Overreaction diamonds: precursors and aftershocks for significant price changes
• Common risk factors in the returns on stocks and bonds

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