Defining an intrinsic “stickiness” parameter of stock price returns
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DOI: 10.1016/j.physa.2020.124464
Abstract: Abstract We introduce a non-linear pricing model of individual stock returns that defines a ”stickiness” parameter of the returns. The pricing model resembles the capital asset pricing model (CAPM) used in finance but has a… read more here.
Keywords: pricing model; price; stickiness parameter; stock ... See more keywords