The Behavior of Stock-Market Prices

By Eugene F. Fama. 1965

Subfields: Economics & Operations Research, Time-Series & Forecasting

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Citations in the corpus

Are Markets Truly Efficient? Experiments Using Deep Learning Algorithms for Market Movement Prediction (2018, neutral): “There is a long history of research on market efficiency, beginning with [1].”
Stock Price Prediction by Deep Neural Generative Model of News Articles (2018, background): “The financial market is considered to be efficient [7].”
Improving stock market prediction via heterogeneous information fusion (2017, background): “The early literature on this problem was based on the Eﬃcient Market Hypothesis (EMH) [1], which states that the stock market prices fully reﬂect all available information.”
Decision support from financial disclosures with deep neural networks and transfer learning (2017, background): “The semi-strong form of the eﬃcient market hypothesis states that asset prices adapt to new information entering the market [1].”
Twitter mood predicts the stock market (2010, background): “Early research on stock market prediction [1], [2], [3] was based on random walk theory and the Efficient Market Hypothesis (EMH) [4].”
Least squares estimators for stochastic differential equations driven by small Lévy noises (2017, background): “These characteristics were already noticed in the 60s by the influential works of Mandelbrot [24] and Fama [6].”
Application of the Fractional Diffusion Equation for Predicting Market Behaviour (2010, background): “movements are presumed to be an aggregation of smaller ones and sums of independent random contributions have a Gaussian PDF because due to the Central Limit Theorem [4], [5].”
Modeling financial data with stable distributions (2003, background): “Examples in finance and economics are given in Mandelbrot (1963), Fama (1965), Roll (1970), Embrechts, Klüppelberg, and Mikosch (1997), and Rachev and Mittnik (2000).”
Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market: Rise of the Machines (2009, unknown): “[16] Fama, E.”
Asset Price and Wealth Dynamics in a Financial Market with Heterogeneous Agents (2006, background): “Debate on this point in the economics and finance literature goes back at least to Friedman (1953) and Fama (1965).”
Corporate Social Responsibility, Noise, and Stock Market Volatility (2012, background): “…hypothesis suggests that rational utility-maximizing investors consider all publicly available information2 about a firm’s actions (including CSR and its impact on cash flows) when buying or selling a firm’s shares, while market forces eliminate less rational investors (Fama, 1965; Friedman, 1953).”
Investors’ trading activity: A behavioural perspective and empirical results (2011, background): “Traditional finance theories such as Efficient Market Theory (Fama, 1965a,b) and Modern Portfolio Theory (Markowitz, 1952) support the hypotheses of rational investors and efficient markets.”
An empirical behavioral model of liquidity and volatility (2007, background): “…the cumulative distribution of logarithmic price changes has tails that asymptotically scale for large |r| as a power law of the form |r|−αr , where (Fama 1965, Officer 1972, Akgiray, Booth and Loistl 1989, Koedijk, Schafgans and de Vries 1990, Loretan 1994, Mantegna and Stanley 1995, Longin…”
Market mechanisms and funding dynamics in equity crowdfunding (2017, unknown): “According to Fama (1965), in an efficient capital market it is fundamental information that determines the value of a security at every point in time.”
EWMA Control Charts for Monitoring Optimal Portfolio Weights (2007, background): “However, Mandelbrot (1963) and Fama (1965) have already detected several departures from the independent and identically distributed (i.”