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}
}
  • G. Caginalp, M. DeSantis
  • Published 2009
  • Economics
  • Quantitative Finance
  • 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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