Visibility of the compass rose in financial asset returns: A quantitative study

被引：6

作者：

Wang, HQ ^{[1
]}

Wang, C

机构：

[1] City Univ Hong Kong, Dept Informat Syst, Kowloon, Hong Kong, Peoples R China

[2] FirstCircle Inc, New York, NY 10009 USA

来源：

JOURNAL OF BANKING & FINANCE | 2002年 / 26卷 / 06期

关键词：

conceptual models; time series models; methodology for estimating data; information and market efficiency;

D O I：

10.1016/S0378-4266(01)00158-3

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The compass rose phenomenon is studied based on the random walk model of stock prices. It is found that the structure is inherently present in any financial data having a finite precision, but becomes visible only under some conditions. A quantitative description of the pattern visibility condition is given, providing a method for the interpretation of pattern appearance and a more comprehensive understanding of the compass rose phenomenon. This is achieved by defining a measure of pattern quality. The arguments and the proposed method are supported by numerical examples. One such example is the presentation of patterns in portfolios with some specific weights. (C) 2002 Elsevier Science B.V. All rights reserved.

引用

页码：1099 / 1111

页数：13

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