The compass rose vanishes

Research output: Contribution to journalArticle

Abstract

The use of visual display of data has increased dramatically over time. In finance, one of the most beautiful visualizations is the "compass rose" first identified by Crack and Ledoit (1996). I revisit the compass rose and demonstrate that it has vanished from daily return data. I also provide evidence on the frequency of discrete price changes in the Crack and Ledoit data versus more recent data and conclude that the changing nature of the U.S. stock market has resulted in the vanishing of the compass rose.

Original languageEnglish (US)
Pages (from-to)1-6
Number of pages6
JournalAcademy of Accounting and Financial Studies Journal
Volume18
Issue number3
StatePublished - 2014

All Science Journal Classification (ASJC) codes

  • Accounting
  • Finance
  • Economics and Econometrics

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