Abstract by Bogdan Mukhametkaliev
Testing the Hypothesis of Constant/IID Short-Term Price Movements in Financial Markets
Financial markets often exhibit unpredictable patters in short-time price movements. The majority of models for short-term security price movements (Random Walk, Binomial Tree, etc.) make a strong assumption of independent and identically distributed or even constant change in price movement. We collected data on various publicly traded stocks and the various parameters of market liquidity to test this distributional assumption on different levels of short-selling liquidity.