Market Mill Dependence Pattern in the Stock Market: Asymmetry Structure, Nonlinear Correlations and Predictability

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dc.creatorLeonidov, Andrei
dc.creatorTrainin, Vladimir
dc.creatorZaitsev, Alexander
dc.creatorZaitsev, Sergey
dc.date2006-01-13
dc.date2006-01-18
dc.date.accessioned2026-07-07T12:07:42Z
dc.date.available2026-07-07T12:07:42Z
dc.descriptionAn empirical study of joint bivariate probability distribution of two consecutive price increments for a set of stocks at time scales ranging from one minute to thirty minutes reveals asymmetric structures with respect to the axes y=0, y=x, x=0 and y=-x. All four asymmetry patterns remarkably resemble a four-blade mill called market mill pattern. The four market mill patterns characterize different aspects of interdependence between past (push) and future (response) price increments. When analyzed in appropriate coordinates, each pattern corresponds to a particular nonlinear dependence between the push and conditional mean of response. Qualitative interpretation of each pattern is discussed. The market mill pattern is an evidence of complex dependence properties relating past and future price increments resulting in various types of nonlinear correlation and predictability.
dc.descriptionMinor stylistical changes; 24 pages, 9 eps figures, 8 png figures
dc.identifierhttps://arxiv.org/abs/physics/0601098
dc.identifierhttp://arxiv.org/abs/physics/0601098
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209061
dc.subjectPhysics and Society
dc.subjectOther Condensed Matter
dc.subjectStatistical Finance
dc.titleMarket Mill Dependence Pattern in the Stock Market: Asymmetry Structure, Nonlinear Correlations and Predictability
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