search query: @author Ledoit, O. / total: 2
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| Author: | Crack, T. Ledoit, O. |
| Title: | Robust structure without predictability: the "Compass Rose" pattern of the stock market |
| Journal: | Journal of Finance
1996 : JUN, VOL. 51:2, p. 751-762 |
| Index terms: | STRUCTURAL CHANGE STOCK MARKETS FINANCE |
| Language: | eng |
| Abstract: | Plotting daily stock returns against themselves with one day's lag reveals a striking pattern. Evenly spaced lines radiate from the origin; the thickest lines point in the major directions of the compass. This "compass rose" pattern appears in every stock. It is caused by discreteness. However, counter-examples demonstrate that the existence of exchange-imposed tick sizes is neither necessary nor sufficient for the compass rose. The compass rose cannot be used to make abnormal profits: it is structure without predictability. |
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