Mean reversion in the US stock market

DOI10.1016/j.chaos.2007.09.085zbMath1198.91177OpenAlexW2064190404MaRDI QIDQ601386

Aryeh Adam Rosenberg, Apostolos Serletis

Publication date: 4 November 2010

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2007.09.085

Mathematics Subject Classification ID

Economic time series analysis (91B84) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Related Items (2)

Revisiting the multifractality in stock returns and its modeling implications ⋮ Long memory and data frequency in financial markets

Cites Work

• No evidence of chaos but some evidence of dependence in the US stock market.
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Long-Term Memory in Stock Market Prices
• Portfolio Analysis in a Stable Paretian Market
• Introduction to Econophysics
• Randomly Modulated Periodic Signals in Alberta's Electricity Market
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