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Item Type Article
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AA00260492-19890002-0017  
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Title
Title INFORMATION FROM DAILY CLOSING PRICES ON THE TOKYO STOCK EXCHANGE  
Kana  
Romanization  
Other Title
Title  
Kana  
Romanization  
Creator
Name LASHGARI, Malek K.  
Kana  
Romanization  
Affiliation University of Hartford  
Affiliation (Translated)  
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Place
Tokyo  
Publisher
Name Keio Economic Society, Keio University  
Kana  
Romanization  
Date
Issued (from:yyyy) 1989  
Issued (to:yyyy)  
Created (yyyy-mm-dd)  
Updated (yyyy-mm-dd)  
Captured (yyyy-mm-dd)  
Physical description
 
Source Title
Name Keio economic studies  
Name (Translated)  
Volume 26  
Issue 2  
Year 1989  
Month  
Start page 17  
End page 23  
ISSN
00229709  
ISBN
 
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Doctoral dissertation
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Abstract
This paper illustrates an information theoretic approach for calculating serial dependence within a time series of daily prices. By calculating an index value which indicates the degree of diversity between actual and predicted prices of stocks listed on the Tokyo Stock Exchange, optimal predictors of prices were computed from prior empirical observations. The empirical findings show that serial dependence between successive changes in price for the Tokyo Stock Price Index is surprisingly large.
 
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Language
英語  
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Journal Article  
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Dec 18, 2009 09:00:00  
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Dec 18, 2009 09:00:00  
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/ Public / Faculty of Economics / Keio economic studies / 26(2) 1989
 
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