Search Results for author: Matthew T. K. Koehler

Found 2 papers, 0 papers with code

Revisiting Stylized Facts for Modern Stock Markets

no code implementations13 Nov 2023 Ethan Ratliff-Crain, Colin M. Van Oort, James Bagrow, Matthew T. K. Koehler, Brian F. Tivnan

In 2001, Rama Cont introduced a now-widely used set of 'stylized facts' to synthesize empirical studies of financial time series, resulting in 11 qualitative properties presumed to be universal to all financial markets.

Time Series

Fragmentation and inefficiencies in US equity markets: Evidence from the Dow 30

no code implementations13 Feb 2019 Brian F. Tivnan, David Rushing Dewhurst, Colin M. Van Oort, John H. Ring IV, Tyler J. Gray, Brendan F. Tivnan, Matthew T. K. Koehler, Matthew T. McMahon, David Slater, Jason Veneman, Christopher M. Danforth

Using the most comprehensive source of commercially available data on the US National Market System, we analyze all quotes and trades associated with Dow 30 stocks in 2016 from the vantage point of a single and fixed frame of reference.

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