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

DOI10.1007/S10260-022-00627-4zbMath1502.62095OpenAlexW4221109938MaRDI QIDQ2111326

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

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

zbMATH Keywords

efficiencyMonte Carlo experimentrandom walkfinancial marketssequential testing strategy

Mathematics Subject Classification ID

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

Cites Work

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• A simple multiple variance ratio test
• Generating trading rules on the stock markets with genetic programming.
• On a measure of lack of fit in time series models
• A test for independence based on the correlation dimension

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