English, Article, Journal or magazine article edition: Can We Make Money with Fifth-order Autocorrelation in Japanese Stock Prices? Yoshiro Tsutsui; Kenjiro Hirayama; Takahiro TanakaAuthor-Name:; ...

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/106836
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Can We Make Money with Fifth-order Autocorrelation in Japanese Stock Prices?
Author
  • Yoshiro Tsutsui
  • Kenjiro Hirayama
  • Takahiro TanakaAuthor-Name:
  • Nobutaka Uesugi
Physical Description
  • preprint
Notes
  • We first report that one-minute returns on TOPIX have exhibited significant autocorrelation at five-minute intervals since 1997/​98, which implies there is an arbitrage opportunity. Special quotes that are issued whenever there is a price jump in excess of a predetermined band seem to be the source of this autocorrelation, since these have been updated at five-minute intervals since August 1998. Individual stock returns also exhibit fifth-order autocorrelation, but this disappears when the data with special quotes are excluded from the sample. The arbitrage opportunities, however, turn out to be spurious since trading is suspended whenever a special quote is issued.
  • RePEc:dpr:wpaper:0639
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment