| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10482117 | Physica A: Statistical Mechanics and its Applications | 2012 | 9 Pages |
Abstract
⺠The cross correlation of daytime, overnight and total returns are analyzed. ⺠We try to find out the origin of negative cross correlation among the three returns. ⺠The sign correlation among the three returns is calculated. ⺠The predictability of daytime return is improved under a large overnight return.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Kuo-Ting Tsai, Jiann-Shing Lih, Jing-Yuan Ko,