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

  title={Stock price dynamics: nonlinear trend, volume, volatility, resistance and money supply},
  author={G. Caginalp and M. DeSantis},
  journal={Quantitative Finance},
  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
    20 Citations


    Overreaction diamonds: precursors and aftershocks for significant price changes
    • 29
    • PDF
    Sensitivity Analysis of Asset Flow Differential Equations and Volatility Comparison of Two Related Variables
    • 9
    • Highly Influential
    Stock market bubbles in the laboratory
    • 111
    Asset flow and momentum: deterministic and stochastic equations
    • G. Caginalp, D. Balenovich
    • Mathematics
    • Philosophical Transactions of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences
    • 1999
    • 67
    • PDF
    Financial Bubbles: Excess Cash, Momentum, and Incomplete Information
    • 166
    • PDF
    Mean Reversion in Stock Prices: Evidence and Implications
    • 989
    • Highly Influential
    • PDF
    Overreaction of Exchange-Traded Funds During the Bubble of 1998-2002
    • 53
    Hybrid methodology for technical analysis
    • 11
    • PDF
    Initial Cash/Asset Ratio and Asset Prices: An Experimental Study
    • 133
    • PDF
    Parameter optimization for differential equations in asset price forecasting
    • 11
    • PDF