Defining single asset price momentum in terms of a stochastic process

Hong, J; Satchell, SE

Defining single asset price momentum in terms of a stochastic process

Hong, J Satchell, SE

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Publisher:: Scientific Research
Publication Type:: Journal Article
Citation:: Theoretical Economic Letters, 2012, 2 (3), pp. 274 - 277
Issue Date:: 2012-01

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Field	Value	Language
dc.contributor.author	Hong, J	en_US
dc.contributor.author	Satchell, SE	en_US
dc.date.issued	2012-01	en_US
dc.identifier.citation	Theoretical Economic Letters, 2012, 2 (3), pp. 274 - 277	en_US
dc.identifier.issn	2162-2078	en_US
dc.identifier.uri	http://hdl.handle.net/10453/29182
dc.description.abstract	This paper looks at various definitions of momentum then investigates a particular definition of momentum via a statis- tical model where the asset price is assumed to follow a log Ornstein-Uhlenbeck process. Momentum is a term that is widely used to describe price behaviour but is not clearly de fined in terms of statistical models. The results we derive show that asset price momentum is determined by price autocorrelation and that positive momentum, as commonly un- derstood, would require explosive behaviour in log prices.	en_US
dc.publisher	Scientific Research	en_US
dc.relation.ispartof	Theoretical Economic Letters	en_US
dc.relation.isbasedon	10.4236/tel.2012.23050	en_US
dc.title	Defining single asset price momentum in terms of a stochastic process	en_US
dc.type	Journal Article
utslib.citation.volume	3	en_US
utslib.citation.volume	2	en_US
utslib.for	1401 Economic Theory	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	closed_access
pubs.consider-herdc	false	en_US
pubs.issue	3	en_US
pubs.volume	2	en_US

Abstract:

This paper looks at various definitions of momentum then investigates a particular definition of momentum via a statis- tical model where the asset price is assumed to follow a log Ornstein-Uhlenbeck process. Momentum is a term that is widely used to describe price behaviour but is not clearly de fined in terms of statistical models. The results we derive show that asset price momentum is determined by price autocorrelation and that positive momentum, as commonly un- derstood, would require explosive behaviour in log prices.

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http://hdl.handle.net/10453/29182