Apparent mean reversion and excess volatility in stock market prices can be reconciled with the Efficient Market … production side of the economy exhibit mean reversion. It also predicts that mean reversion and excess volatility will differ …

from price changes in other markets. This provides a channel through which a "mistake" in one market can be transmitted to … other markets. Hourly stock price data from New York, Tokyo and London during an eight month period around the crash offer … volatility …

The well-known option pricing formula of Black and Scholes depends upon the assumption that price fluctuations are log … be more nearly the case in most markets, price fluctuations are in fact symmetrics table or log-symmetric stable. This … generating log-normal price uncertainty. It is then used to derive the value of a short-lived option for certain processes that …

show that IDT activity reduces bid ask spread and increases intra-day volatility and total volume traded. The volume traded …

economy with continuous consumption and dividend paths, in which endogenous price jumps originate from the market impact of … endogenous relation between a shock's persistence and the magnitude of the induced price jump. As the number of frequencies … driving fundamentals goes to infinity, the price process converges to a novel stochastic process, which we call a multifractal …

This paper studies the predictability of ultra high-frequency stock returns and durations to relevant price, volume and …