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Predictability of Stock Market Prices
1970
by
Morgenstern and Granger
Mathematical Economics
Oskar Morgenstern
Eugen von Bohm-Bawerk
Game Theory
John Maynard Keynes
Liquidity
Speculation
Paul Samuelson
Profit and Loss
Business Cycles
Price Theory
Supply and Demand
Carl Menger
Table of Contents · 44 segments
1
Front Matter, Contents, Lists of Figures and Tables, and Preface
essay
2
Chapter 1: Phenomenology of the Stock Market
chapter
3
Initial Chapter 2 Opening Fragment and Prior Findings on Stock Market Predictability
chapter
4
Statistical Techniques for Stock Market Time Series Analysis
chapter
5
Finite Fourier Series, Transform Examples, Sample Spectrum, and Stationarity
theoretical
6
Relationships Between Two Time Series: Cross-Spectrum, Coherence, Phase, and Gain
theoretical
7
Examples of Spectral Analysis in Stock Price Series
theoretical
8
Mathematical Discussion of Time-Series Analysis: Fourier Transform, Finite Samples, Stationarity, and Filters
theoretical
9
Mathematical Introduction to Spectral Estimation
theoretical
10
Computational Algorithm Preface and Repeated Estimation Equations
theoretical
11
Computational Algorithm for Sample Spectra
theoretical
12
Introduction to the Random Walk Model and Martingale Formulation
chapter
13
Introduction to the Random Walk Model
chapter
14
Implications, History, and Initial Serial-Correlation Setup
chapter
15
Serial Correlations, Runs Tests, Filter Rules, and Early Practical Interpretation
chapter
16
Interpretation, Investor Forecasting, Limitations, Misconceptions, Summary, and Appendix
chapter
17
Chapter 4 Opening and Carryover Martingale Fragment
chapter
18
Price Series Data Inventory and Logarithmic Data Transformation
chapter
19
Autoregressive Alternative to the Random Walk Model
theoretical
20
Justifications for Transformed Stock Price Data
chapter
21
An Autoregressive Alternative to the Random Walk
theoretical
22
Effects of High-Low Averaging on Random Walk Data
theoretical
23
Empirical Spectral Evidence for the Random Walk
chapter
24
Market Time, Real Time, Overnight Variance, and Weekend Effects
theoretical
25
Seasonals, Minor Cycles, and Chapter 4 Conclusions
chapter
26
Trends and Long-Run Fluctuations in Stock Prices
chapter
27
The Stock Market, the Economy, the Amended Random Walk, and Chapter 5 Conclusions
chapter
28
Introduction to Short-Run Deviations and Transaction Data
chapter
29
Testing Transaction-Price Random Walks and Introducing Barriers
chapter
30
Transaction Price Change Matrices and Limit-Order Barrier Explanation
chapter
31
Continuation of Transaction Price Change Evidence for ITT
chapter
32
Sections 6.3-6.7: Reflecting Barriers, Specialist Books, Price Clustering, Unchanged Prices, and Longer-Horizon Tests
chapter
33
Appendix: Theory of Random Walks with Reflecting Barriers
theoretical
34
Section 6.8 Summary and Conclusions
chapter
35
Chapter 7 Opening with Chapter 6 Overlap and Transaction-Price Summary
chapter
36
Chapter 7: The Distribution of Price Changes
chapter
37
Chapter 8 Opening on Volume and Price with Repeated Chapter 7 Conclusion
chapter
38
Volume and Price
chapter
39
Relationships Between Price Series
chapter
40
Prices, Dividends and Earnings
chapter
41
11.1 Stages in the Construction of a Descriptive Model
chapter
42
Chapter 11: A Descriptive Model of the Stock Market
chapter
43
Bibliography
bibliography
44
Index and About the Authors
bibliography