On the public citation graph

Spurious Mean-Reversion of Stock Prices in the State-Space Model

https://doi.org/10.2139/ssrn.1137540
0 signed · 9 inferred · view as graph

Inferred edges come from two machine sources: sweeps of open repository metadata (mostly SSRN and Zenodo), and a bulk OpenAlex citation snapshot. Every row below is labelled with the one it came from. Neither is a complete citation index — absence here is not evidence of absence.

Is this your work? Sign in with ORCID and put your name on the claims that are yours.
Claim with ORCID
Reference health. See whether every reference in this work resolves to a known work and none has been retracted — and get a dated CiteStamped badge you can embed.
See reference health

What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/(sici)1099-131x(199711)16:6<411::aid-for659>3.0.co;2-gopenalex-extracted
State space trend-cycle decomposition of the ARIMA(1,1,1) process
inferredcites →https://doi.org/10.1016/0304-405x(88)90021-9openalex-extracted
Mean reversion in stock prices
inferredcites →https://doi.org/10.1023/a:1015405820349openalex-extracted
A Time-Series Model of Stock Returns with a Positive Short-Term Correlation and a Negative Long-Term Correlation
inferredcites →https://doi.org/10.1086/261535openalex-extracted
Permanent and Temporary Components of Stock Prices
inferredcites →https://doi.org/10.1086/296441openalex-extracted
Time-Variation in Expected Returns
inferredcites →https://doi.org/10.1093/rfs/1.1.41openalex-extracted
Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test
inferredcites →https://doi.org/10.1111/j.1540-6261.1986.tb04519.xopenalex-extracted
Does the Stock Market Rationally Reflect Fundamental Values?
inferredcites →https://doi.org/10.2307/2325486openalex-extracted
Efficient Capital Markets: A Review of Theory and Empirical Work
inferredcites →https://doi.org/10.3386/w2168openalex-extracted
Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test
Editorial review for independent work. ICSAC — the Institute for Complexity Science and Advanced Computing — runs a structured editorial panel for researchers publishing outside journals, and publishes on CiteStamp rails. Submission is free and goes through ORCID: icsacinstitute.org/submit.