Historical autocorrelations in stock prices
Any type of content formally published in an academic journal, usually following a peer-review process.
Autocorrelations in stock prices were revisisted using public accessible stock data from quandl and modelled with the R package gamlss. The model confirmed that autocorrelations in daily stock prices clearly existed and continue to exist, and showed that the autocorrelation patterns change over time. Implications with respect to the efficient market hypothesis are discussed.