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 …

A new set of methodologies extracts key nonlinearities in the dynamics of financial markets
from data that would appear to be completely random with ordinary linear time series …

We investigate the price dynamics of large market-capitalization US equity exchange-traded
funds (ETFs) in order to uncover trader motivations and strategy. We show that prices of …

Most large stock price shocks are not accompanied by publicly available information. Then,
what other information do investors use to set prices? The authors find that investors rely on …

With increasing evidence challenging the efficient market hypothesis, there is a need for a
unified methodology capable of quantifying the various, sometimes conflicting, effects …

Many argue that under-and over-reaction in asset prices are caused by inherently different
factors. We design an asset market where information arrives sequentially over time to …

Technical analysis has always been a controversial topic with weak evidence in the
literature while behavioral finance has enjoyed success. Yet the objective of technical …

For short-term investments in equity markets, investors use price points, candlestick patterns,
moving averages, support and resistance levels, trendlines, price patterns, relative strength …

Purpose: This paper aims to assess psychological heuristics' effectiveness on cumulative
returns after significant stock price changes. Specifically, it compares availability and …

Author Draft For Review Only and similar to industry-specific mutual funds, Select Sector
funds were created to divide the SPY into nine sectors based on industry groupings. That is …