Rechenthin, Michael; Street, W. Nick - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 24, pp. 6169-6188
By examining the conditional probabilities of price movements in a popular US stock over different high-frequency intra-day timespans, varying levels of trend predictability are identified. This study demonstrates the existence of predictable short-term trends in the market; understanding the...