Antoniou, Antonios; Vorlow, Constantinos E. - In: Physica A: Statistical Mechanics and its Applications 348 (2005) C, pp. 389-403
We investigate the “compass rose” patterns introduced by Crack and Ledoit (J. Finance 51(2)(1996) 751) as revealed in phase portraits (delay plots) of stock returns. The structures observed in these diagrams have been attributed mainly to price clustering and discreteness and the tick size....