Stock Price Clustering and Discreteness: The "Compass Rose" and Predictability

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dc.creatorVorlow, Constantinos E.
dc.date2004-08-01
dc.date.accessioned2026-07-07T12:09:51Z
dc.date.available2026-07-07T12:09:51Z
dc.descriptionIn this letter we investigate the information provided by the "compass rose" (Crack, T.F. and Ledoit, O. (1996), Journal of Finance, 51(2), pg. 751-762) patterns revealed in phase portraits of daily stock returns. It has been initially suggested that the compass rose is just a manifestation of price clustering and discreteness and the tick size, factors that can affect the unbiasedness of an array of statistical tests based on stock returns. We show that this may not entirely be the case.
dc.description13 Pages, 2 Figures, 2 Tables
dc.identifierhttps://arxiv.org/abs/cond-mat/0408013
dc.identifierhttp://arxiv.org/abs/cond-mat/0408013
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209768
dc.subjectOther Condensed Matter
dc.subjectGeneral Finance
dc.subjectPricing of Securities
dc.titleStock Price Clustering and Discreteness: The "Compass Rose" and Predictability
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