TAILIEUCHUNG - Market Making and Reversal on the Stock Exchange (Journal of American Statistical Association 1966)

Most stock exchanges operate on a "matched bargain" or "order driven" basis. When a buyer's bid price meets a seller's offer price or vice versa, the stock exchange's matching system decides that a deal has been executed. In such a system, there are no designated or official market makers, but market makers nevertheless exist. | Market Making and Reversal on the Stock Exchange Victor Niederhoffer M. F. M. Osborne STOR Journal of the American Statistical Association Volume 61 Issue 316 Dec. 1966 897-916. Stable URL http sici sici 0162-1459 28196612 2961 3A316 3C897 3AMMAROT 3B2-5 Your use of the JSTOR archive indicates your acceptance of JSTOR s Terms and Conditions of Use available at http about . JSTOR s Terms and Conditions of Use provides in part that unless you have obtained prior permission you may not download an entire issue of a journal or multiple copies of articles and you may use content in the JSTOR archive only for your personal non-commercial use. Each copy of any part of a JSTOR transmission must contain the same copyright notice that appears on the screen or printed page of such transmission. Journal of the American Statistical Association is published by American Statistical Association. Please contact the publisher for further permissions regarding the use of this work. Publisher contact information may be obtained at http joumals . Journal of the American Statistical Association 1966 American Statistical Association JSTOR and the JSTOR logo are trademarks of JSTOR and are Registered in the . Patent and Trademark Office. For more information on JSTOR contactjstor-info@. 2002 JSTOR http Thu May 16 03 51 27 2002 JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION Number 316 DECEMBER 1966 Volume 61 MARKET MAKING AND REVERSAL ON THE STOCK EXCHANGE Victor Niederhoffer University of Chicago AND M. F. M. Osborne Washington J . The accurate record of stock market ticker prices displays striking properties of dependence. We find for example that after a decline of ị of a point between transactions an advance on the next transaction is three times as likely as a decline. Further examinations disclose that after two price changes in the same direction the odds in favor of a .

• Quản trị kinh doanh
• stock exchange
• market making
• price fluctuation
• Picking Strategies
• stock exchange
• Communications in Physics
• Study of HaNoi and HoChiMinh stock exchange
• Stock exchange econophysics methods
• Hanoi Stock Exchange
• Hochiminh Stock Exchange
• Investors’ stock trading behavior
• Perspective of dhaka stock exchange
• Dhaka stock exchange
• Highest educational level
• Categorized by gender
• Exchange rate
• Interest rate
• Stock return
• Vietnam stock market
• Interest rate on stock return
• Impact of exchange rate
• Dissertation abstract Accounting
• Information of exchange rate differences
• Financial statements on the stock price
• Non fianancal joint stock companies listed
• Vietnam’s stock market
• HCMC stock exchange
• Market risk
• Stock prices
• VN Index
• Ho Chi Minh City Stock Exchange
• Institutional investors
• Stock price synchronicity
• Stock price informativeness
• Informational efficiency
• Diaspora remittances at nairobi securities exchange
• Stock market development at nairobi securities exchange
• The Error Correction Term
• Foreign Investor Participation
• Stock Market Development and Nairobi Securities Exchange
• Oil prices
• Gold market
• Stock market
• Evidence from Pakistan stock exchange
• n Iran Tehran stock exchange
• chứng khoán Iran Tehran stock exchange
• giao dịch chứng khoán
• đầu tư chứng khoán
• sở giao dịch chứng khoán
• Corporate financial structure
• Manufacturers listed
• Influential factors
• Hồ Chí Minh stock exchange
• Stock exchange market
• Tạp chí khoa học
• Corporate governance on earnings management of enterprises listed
• Ho Chi Minh Stock Exchange
• The CEO duality
• Corporate governance mechanism
• Technical efficiency
• Nigerian stock exchange
• Manufacturing companies
• The technical efficiency
• Enterprise risk management
• Company value
• Nairobi stock exchange
• Enterprise risk management implementation
• Value of companies listed
• Credit affect the profitability of state owned banks listed
• The indonesia stock exchange
• State owned banks
• Significant impact on bank profitability
• Banks listed in Tehran Stock Exchange
• Tehran Stock Exchange
• Risk management on earnings volatility
• Dichev and Tang
• Journal of Accounting and Economics
• Volume spread analysis
• Stock price manipulation
• Professional traders
• World economy
• Macroeconomic policies
• Liquidity stock
• Listed stocks
• Micro factors
• Financial market
• Stock market liquidity
• Summary of the dissertation
• Non financial information disclosure
• The level of non financial information disclosure
• Companies listed on the stock exchange
• The stock exchange
• Stock index
• Securities market in Vietnam
• Stock market index
• Finance accounting and Auditing
• Security exchange
• Corporate governance
• Involuntary delisting
• Involuntary delisting firm
• State control
• Foreign investment
• State control of Vietnamese stock market
• Economic development
• Doctoral dissertation in Finance
• Performance of exchange
• Traded funds tracking
• Tracking Vietnam stock market
• Central bank
• Stock price
• European central bank
• Influence stock prices
• Day of the week
• Zimbabwe stock exchange
• Efficient market hypothesis
• Overall stock market returns
• Establish whether returns