Crack, Timothy Falcon; Ledoit, Olivier - In: Journal of Finance 51 (1996) 2, pp. 751-62
Plotting daily stock returns against themselves with one day's lag reveals a striking pattern. Evenly spaced lines radiate from the origin; the thickest lines point in the major directions of the compass. This 'compass rose' pattern appears in every stock. It is caused by discreteness. However,...