Empirical Analysis of Price Jumps on the PSE and Visegrad Indexes
Novotny, J.
Appeared in Proceedings from 27th International Conference on Mathematical Methods in Economics 2009, Kostelec upon Black Woods, CZE, September 9-11, 2009, pp. 143-148
Abstract
Price jump analysis of the Visegrad stock market indices using the econophysics price jump indicators.Additional resources for the paper are available here.
I have further extended this work into the form of the CERGE-EI Working Paper and then submitted into the journals.