Stock price dynamics: nonlinear trend, volume, volatility, resistance and money supply
@article{Caginalp2009StockPD,
title={Stock price dynamics: nonlinear trend, volume, volatility, resistance and money supply},
author={G. Caginalp and M. DeSantis},
journal={Quantitative Finance},
year={2009},
volume={11},
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… CONTINUE READING
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