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List of Figures | |
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List of Tables | |
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Preface | |
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Introduction | |
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Organization of the Book | |
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Useful Background | |
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Mathematics Background | |
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Probability and Statistics Background | |
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Finance Theory Background | |
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Notation | |
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Prices, Returns, and Compounding | |
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Definitions and Conventions | |
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The Marginal, Conditional, and Joint Distribution of Returns | |
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Market Efficiency | |
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Efficient Markets and the Law of Iterated Expectations | |
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Is Market Efficiency Testable? | |
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The Predictability of Asset Returns | |
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The Random Walk Hypotheses | |
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The Random Walk 1: IID Increments | |
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The Random Walk 2: Independent Increments | |
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The Random Walk 3: Uncorrelated Increments | |
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Tests of Random Walk 1: IID Increments | |
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Traditional Statistical Tests | |
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Sequences and Reversals, and Runs | |
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Tests of Random Walk 2: Independent Increments | |
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Filter Rules | |
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Technical Analysis | |
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Tests of Random Walk 3: Uncorrelated Increments | |
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Autocorrelation Coefficients | |
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Portmanteau Statistics | |
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Variance Ratios | |
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Long-Horizon Returns | |
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Problems with Long-Horizon Inferences | |
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Tests For Long-Range Dependence | |
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Examples of Long-Range Dependence | |
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The Hurst-Mandelbrot Rescaled Range Statistic | |
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Unit Root Tests | |
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Recent Empirical Evidence | |
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Autocorrelations | |
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Variance Ratios | |
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Cross-Autocorrelations and Lead-Lag Relations | |
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Tests Using Long-Horizon Returns | |
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Conclusion | |
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Market Microstructure | |
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Nonsynchronous Trading | |
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A Model of Nonsynchronous Trading | |
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Extensions and Generalizations | |
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The Bid-Ask Spread | |
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Bid-Ask Bounce | |
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Components of the Bid-Ask Spread | |
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Modeling Transactions Data | |
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Motivation | |
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Rounding and Barrier Models | |
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The Ordered Probit Model | |
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Recent Empirical Findings | |
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Nonsynchronous Trading | |
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Estimating the Effective Bid-Ask Spread | |
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Transactions Data | |
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Conclusion | |
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Outline of an Event Study | |
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An Example of an Event Study | |
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Models fo | |