Identifying actionable serial correlations in financial markets

• المؤلفون الرئيسيون: Cheong, Siew Ann, Lee, Yann Wei, Li, Ying Ying, Lim, Jia Qing, Tan, Jadie Jiok Duan, Teo, Joan Xin Ping
• مؤلفون آخرون: School of Physical and Mathematical Sciences
• التنسيق: مقال
• اللغة: English
• منشور في: 2021
• الموضوعات: Science::Mathematics; Financial Markets; Serial Correlations
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/151067
• المؤسسة: Nanyang Technological University

Financial markets are complex systems where information processing occurs at multiple levels. One signature of this information processing is the existence of recurrent sequences. In this paper, we developed a procedure for finding these sequences and a process of statistical significance testing to...