A procedure for testing the hypothesis of weak efficiency in financial markets: a Monte Carlo simulation

DOI10.1007/S10260-022-00627-4MaRDI QIDQ2111326zbMATH OpenOpenAlexFDO

Authors José A. Roldán-Casas, Ma B. García-Moreno García

Publication date 13 January 2023

Published in Statistical Methods and Applications (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s10260-022-00627-4

zbMATH Keywords

efficiencyfinancial marketsMonte Carlo experimentrandom walksequential testing strategy

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Nonparametric hypothesis testing (62G10) Sequential statistical analysis (62L10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

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Cites work

• A simple multiple variance ratio test
• A test for independence based on the correlation dimension
• Generating trading rules on the stock markets with genetic programming.
• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• On a measure of lack of fit in time series models

Cited in

(5)

• Examining the first stages of market performance: A test for evolving market efficiency
• Weak form efficiency of selected European stock markets: alternative testing approaches
• ON THE VALIDITY OF THE RANDOM WALK HYPOTHESIS APPLIED TO THE DHAKA STOCK EXCHANGE
• A generalized moving average convergence/divergence for testing semi-strong market efficiency
• Gaussian mixture modelling to detect random walks in capital markets

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