Description

Book Synopsis
This volume provides more evidence against the Random Walk Hypothesis and offers insights into market inefficiency through systematically trading exchange-traded funds (ETFs). The book is organized to answer the following three questions: Do ETF prices follow random walks? If not, what are some of the factors that impact their non-random walk behavior? How can investors take advantage of such price dynamics in trading ETFs?

Table of Contents
Non-Random Walk Behavior in ETF Price Dynamics; Variance Ratios; Equity, Bond, Commodity and Currency ETFs; Factors of Serial Correlation; Discretized Sampling of Variance and Volatility Trading;

More Evidence Against The Random Walk Hypothesis:

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    A Hardback by Shunxin Jiang

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      Publisher: World Scientific Publishing Co Pte Ltd
      Publication Date: 26/03/2015
      ISBN13: 9789814641050, 978-9814641050
      ISBN10: 9814641057

      Description

      Book Synopsis
      This volume provides more evidence against the Random Walk Hypothesis and offers insights into market inefficiency through systematically trading exchange-traded funds (ETFs). The book is organized to answer the following three questions: Do ETF prices follow random walks? If not, what are some of the factors that impact their non-random walk behavior? How can investors take advantage of such price dynamics in trading ETFs?

      Table of Contents
      Non-Random Walk Behavior in ETF Price Dynamics; Variance Ratios; Equity, Bond, Commodity and Currency ETFs; Factors of Serial Correlation; Discretized Sampling of Variance and Volatility Trading;

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