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

DOI10.1007/S10260-022-00627-4zbMATH Open1502.62095OpenAlexW4221109938MaRDI QIDQ2111326FDOQ2111326

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)

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

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zbMATH Keywords

random walkefficiencyMonte Carlo experimentfinancial marketssequential testing strategy

Mathematics Subject Classification ID

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

Cites Work

• A test for independence based on the correlation dimension
• On a measure of lack of fit in time series models
• Title not available (Why is that?)
• A simple multiple variance ratio test
• Generating trading rules on the stock markets with genetic programming.

Cited In (3)

• ON THE VALIDITY OF THE RANDOM WALK HYPOTHESIS APPLIED TO THE DHAKA STOCK EXCHANGE
• Gaussian mixture modelling to detect random walks in capital markets
• Examining the first stages of market performance: A test for evolving market efficiency

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