Stock price dynamics: nonlinear trend, volume, volatility, resistance and money supply

  title={Stock price dynamics: nonlinear trend, volume, volatility, resistance and money supply},
  author={Gunduz Caginalp and Mark DeSantis},
  journal={Quantitative Finance},
  pages={849 - 861}
We present a methodology to study a data set of 119 260 daily closed-end fund prices using mixed-effects regressions with the objective of understanding price dynamics. There is strong statistical support that relative price change depends significantly on (i) the recent trend in a nonlinear manner, (ii) recent changes in valuation, (iii) recent changes in money supply (M2), (iv) longer-term trend, (v) recent volume changes and (vi) proximity to a recent high price. The dependence on the… 
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