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Stock Price Clustering and Discreteness: The "Compass Rose" and Predictability

Constantinos E. Vorlow
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Abstract

In this letter we investigate the information provided by the "compass rose" (Crack, T.F. and Ledoit, O. (1996), Journal of Finance, 51(2), pg. 751-762) patterns revealed in phase portraits of daily stock returns. It has been initially suggested that the compass rose is just a manifestation of price clustering and discreteness and the tick size, factors that can affect the unbiasedness of an array of statistical tests based on stock returns. We show that this may not entirely be the case.

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Constantinos E. Vorlow. 2004-08-01. Stock Price Clustering and Discreteness: The "Compass Rose" and Predictability. https://arxiv.org/abs/cond-mat/0408013

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